Truth is. Your Wallet is less likely to be someone's target than Coinbase's Wallet is. I wonder how their statement of being the safest place to store Cryptocurrencies is going to work in court if they ever end up being hacked too.
I guess they're also thinking about compensation in case their storage wallet gets hacked. But for whatever reason, I think it's always better to have custody of our own crypto assets instead of entrusting them to other parties including exchanges. I don't 100% believe any exchange will compensate all the loss of its customers in the event of a hack, even if it does, it will have to go through a long process.
I don't remember or may have missed it, is there any exchange other than Mt.Gox that actually compensates their customers' funds?