I face a similar choice, but in a different discipline than History. The safe choice (Ph.D. in my professional field) versus working with a world renowned scholar in a field that, though completely applicable, is new to me. The parallel I am making is CUNY (safe) vs. Cambridge.
At Cambridge you would be pursuing your studies independently (a good model for the rest of your life as a scholar) and would have less "hand holding." These are positives, not negatives.
Perhaps you should go out on a limb, and lay your cards on the table, and ask your CUNY adviser what he or she would advise you to do. You hold all the cards right now, so this could be very informative.
Others might think differently, and I hope they chime in, but what your CUNY adviser says could tell you as much about CUNY and him or her as it would about the value of the offer from Cambridge. If you end up going to CUNY, your adviser would know that you made that choice. The consequences of that could be nothing but positive. If you go to Cambridge, your CUNY adviser would know that you are a straight shooter -- you won't necessarily be burning any bridges with him or her -- and you might even laying the groundwork for a future with that institution...