That's a good bit to keep on an exchange, they would be advising you in case there is a split on August 1st which now doesn't seem to be something that will be happening.
Anyway it is best practice to hold your own private keys, I am not familiar with Zebpay and if they hold your keys or not but if they don't it would definitely be something worth doing then if they ever shutdown you will not lose anything.
Zebpay looks very reputed wallet in India. It is the second most popular exchange cum wallet which doesn't seem to be a problem for anybody. The message might be just for caution purpose on,y and need not to worry about it. As you can see so many stuffs are going on around and it is best to keep everybody informed about it.
Yes, now most of the exchanges are sending these messages to store your coins in an offline wallet for next few weeks. These exchanges want to play a safe in case of bitcoins gets split after 1st of August. So they are not going to close the site, but for your safety, they are suggesting you store in an offline wallet. Better follow their instructions for next few weeks.