The theme of "In This Strange Labyrinth How Shall I Turn" seems to be love. However, the end is leaving me a bit confused. In the last two lines of the poem, is the speaker deciding to walk down the path of love regardless of the perceived risks?

Well . . . it's the opposite of this, really. What Mary Wroth is saying is that if we can just trust to love, we won't need to worry about choosing a "way" within the labyrinth of life, because love will guide us through the maze using its "thread." The left way and the right way, which Wroth's speaker is tempted and troubled by in this poem, are not really love—one of them leaves the traveler suspicious, while the other seems to be more lust than love ("burn"). The speaker is in a quandary because every route looks uncertain and dangerous, and standing still seems even more impossible.
Ultimately, however, the speaker doesn't have to make a decision of her own. Like in the Classical Greek story of Theseus and Ariadne—wherein Ariadne traced the correct path through King Minos's labyrinth with thread, so that Theseus could get back out after having killed the Minotaur—there is a thread leading the speaker through this labyrinth, too. All she needs to do is find it, hold onto it, and believe that this is the way of love marked out for her. She knows this is the best thing to do; her impulses "move" toward it, and she must only listen.

In "In This Strange Labyrinth How Shall I Turn?," Mary Wroth discusses the complicated nature of love, and the last two lines have a lot of meaning.
In this sonnet, Wroth is referencing Greek mythology, and understanding these references might help clarify these last lines. The labyrinth plays an important role in the myth of Theseus and the minotaur. In this myth, King Minos hides the minotaur, a half-man–half-bull monster, in the large maze referred to as the labyrinth. When his son is killed by the bull that fathered the minotaur, King Minos demands that seven young men and women must be sacrifices to the minotaur every year—a bit like the Hunger Games. Theseus is one of the young men sent to the minotaur, and he believes he will finally be able to defeat this monster. When he falls in love with Princess Ariadne, King Minos's daughter, she promises to help him. Ariadne gives Theseus thread to wind through the labyrinth so he can find his way out again. He manages to kill the minotaur and find his way out with Ariadne's thread.
When Wroth references taking "the thread of love," she is alluding to Ariadne's thread. The speaker is indeed deciding to follow love regardless of the consequences that have been considered throughout the sonnet. But the story of Ariadne's thread is a hopeful one which works out for the lovers in the end, making this ending more hopeful and optimistic than it might at first appear.