Needless to say, as it stands today and has stood since the first bitcoin exchange was launched, your bitcoin is not safe on the exchanges.
Bitcoin exchanges represent third parties that are single points of failure that can succumb to human error, hacks and government coercion. You should eliminate this third-party risk by taking control of your wealth by holding your own keys.
Sure, this also comes with some risks. You must have the ability to secure those keys, but there are ways to mitigate single points of failure while holding your keys. Multisignature wallets are a good way to eliminate single points of failure in self custody.
At the very least, you should take possession of your own keys and take the risk of being your own single point of failure because at some point, when bitcoin becomes extremely popular and more widely adopted, governments are going to make like they always have and turn totalitarian.
The first things they will target are exchanges. You should operate with this assumption as your base case.
Also, you should take possession of your keys because that’s why bitcoin was created in the first place: to enable individuals to hold their own wealth and send and receive it without depending on trusted third parties.
You are doing the network a disservice by being lazy.
Especially if you subscribe to the theory that bitcoin held on exchanges is re-hypothecated and lent out to traders who actively short bitcoin. Suppressing the price in the process.
Holding your keys means less of that activity is harder to do.