That's helpful to read, as it does add useful context - you obviously do care about her a lot.
I completely get that it's distressing to see someone you love behaving in a dangerous/self-destructive way; I've been through similar with my sister who has a long, long history of making shit, risky and self-destructive choices at certain times in her life. It is horrible to witness and it is, additionally, exhausting to keep picking up the pieces.
With my sister, I found that 'What the hell are you playing at?' (which was what I usually want to say) was less effective than just asking her calm, neutral questions or even just making statements about her behaviour - almost just factual things, if that makes sense. So in my sister's case, if she told me she was going on a second date with a man who had followed her home against her will, I would probably say 'Oh, right. What is it about him that's made you want to see him again?' in a casual way and then if she said something like 'Well, he didn't actually harm me and he clearly fancies me' I'd say 'OK. He's obviously very predatory and potentially dangerous, though, so I assume you've taken that into consideration. What are you going to do to make sure you're safe?' again, just in a casual, neutral tone. I have, at times, said to my sister, very calmly, 'You're an intelligent person, so obviously you know you're putting yourself at considerable risk, but I'm assuming there's something you're getting from it that you feel is worth it. What is that? At the moment, you seem really unhappy, so it doesn't feel to me like you're benefiting from the risks you're taking, but I might be wrong and I'd really like to understand.'
I'm not going to pretend this has always worked, but sometimes I think just answering the questions and having to articulate the reasons why the decisions are being made can help the person start to work through the reasons behind their obviously dysfunctional behaviour.
That said - you do mention that you've tried a soft approach before and it hasn't worked, so maybe you do have to risk ending the friendship by being a bit more blunt with her. I wish I had the answers, to be honest!