So, recently there were a pretty big news regarding Bitcoin Gold -
https://bitcointalk.org/index.php?topic=2466999.0This has some very important effects on the whole situation with holding on your own vs holding on exchange. The risk of downloading malicious clients that will still both your forked coins and Bitcoin is relatively high - not only there are many fake sites on first results in Google, because they've bought their ad space or just have some clever SEO, there's also a risk of getting malware from official channels because they got hacked or because they were malicious from the start. This means that if you are holding coins on your own you have to always follow the correct procedure of claiming forks - move Bitcoin to a new wallet, install forked client on a separate machine, import old private keys or alternatively import just signed transaction if possible - after sending your coins to exchange clean or better format this device. It's really not that hard for experienced user, but newbies might simply don't know about it, and easily get tricked into exposing their private keys to malware - which means that there's a certain benefit for them in keeping their coins on exchange during forks. But there's a risk that exchange operators, especially if it's some small local exchange, might also screw up and lose their funds to the same malware - keeping coins online is always risky, since this was never a part of original Bitcoin vision.