How good are you at security?
Do you frequent weird and random websites, do you get a lot of popups when you browse the Internet, do you have antivirus?
If you have av and don't click random links, run random apps or visit strange sites you can probably safely store the funds yourself.
Exchanges likely don't have insurance for a loss of funds (I don't think one exists) so if they got hacked, your funds and many other people's funds are gone. Bitfinex got "hacked" a while ago and they credited everyone the dollar equivelant in a token they'd then repay. If you're happy with a random 33% of your fund sbeing liquidated and getting replaced by what could be a lower amount of payment then store them on an exchange if you really think you're incapable of keeping 12 words securely stored/a computer infection free.