NOT YOUR KEYS, NOT YOUR COINS. Exchanges are never the best options, there have been series of serious hacks in history like FTX, MTGOX, BYBIT, etc and the fact that exchanges breeds centralization and trusting a third party which is still the same thing Bitcoin came to eliminate. Exchanges are tools of the government and can seize your funds upon request and deprive you of the right to use your money whenever you want.
Risks from centralized exchanges as a fund storage are truly existing and big too but if people don't know how to create and secure their wallets, backups and funds properly, they can choose biggest and most trusted centralized exchanges to use for trading and fund storage. Of course, it's only temporary solution and they must learn to become self custodians properly.
That brings you back right where you started and what it simply means is that, self custody remains the only reliable means to ensure the safety of your Bitcoin(s).
At times, we tend to make the idea of self custody a lot more complicated than it actually is. It’s simply keeping your seed phrase or private keys safe.
Should you own an account on a centralized exchange, you are still responsible for keeping the logins of that account safe, its password included. Same applies to self custody except for one twist, the possibility of password recovery.
Self custody all comes down to one thing, a reliable means that suits you to keep what you deem important private and safe.
