The major reason why DEX is not favoured by many is cause most have low liquidity when compared with bugger centralized exchanges, and this is a result of most users opting to use such centralized exchanges, boosting the userbase and its liquidity.
There is also the automation and ease of use.
On a centralized exchange like Binance, you create your buy/sell order and when the price hits that sweet spot, the order gets filled automatically. You don't need to be online or do anything else.
If we compare that with the most popular DEX, Bisq, the process is completely different. You need to check if the order is still valid, then you are required to make a security deposit. You need to be online and the other party needs to be online as well. Then the other party needs to make a security deposit. You have to manually check if your fiat transaction went through before releasing the crypto. Each transaction requires on-chain confirmations. That's going to depend on the congestion of the blockchain, the mining fees you want to pay, and how much time needs to pass until the next block is found.
It requires more time and more user input compared to automated CEXs. Since people are lazy, most will just use the stuff that requires the least amount of time no matter the security or privacy aspect.