Models in economic literature that conclude the socially optimal policy is for the central bank to backstop aggregate liquidity risk generally assume that credit risk is negligible (or can be priced perfectly) and the only source of risk is that related to liquidity.
In this abstract world, there is no moral hazard, at least in the sense that the firm with access to the LOLR will hold an insufficient quantity of liquid assets. This is because all assets are effectively liquid, since the central bank can always lend against assets that may be illiquid in private markets.