I would think that you could have "uncertainty" even if you do have a PDF. Maybe there is a formal definition of uncertainty that I am not aware of. The PDF can describe the uncertainty for every outcome.
Risk is what you can put a probability on (i.e., quantify). Uncertainty is what you can't. Uncertainty encompasses unknown unknowns. See Knight[1] and Keynes[2].
Good rule of thumb even if it sounds overly simplified.
