If you want to get help with your question maybe you need to share more information with us like what is your comfortable amount to invest in new coins, your experience in ICOs, your ability to get good coins in the beginning of their path and etc. cuz it's not that simple answer like yes/no. But I think if you have understood all these aspects you will be able to make the decision self
Lets start the comparison from the beginning. Lets take for example a good coin that has great team, good marketing, advisors, not bad roadmap and everything that should have average crypto for technology(instead of crypto for money which has only marketing).
When you buy it from ICO: you support developers(and this is the most important fact as for me), you buy cheaper than from exchange, but you gain risks to freeze your money.
When you buy it from exchange: you support the seller who bought on ICO, you buy more expensive, but you take less risk. But if you buy right after ICO you should understand that the price can go back to ICO.
But this works only if you buy good coin. If you want to buy some fake crypto just for speculation - your choice of course(I prefer to not to buy such things at all), but it is better to get these only on exchange.
Hope I helped you a little with this