Exchanges are damned if they do and damned if they don't.  People want the convenience of being able to do instant withdrawals and transfers without any of the risk.

Small Bitcoin services which hold large amounts of other people's BTC are hacker magnets and intruders know that such services are often one or two man operations without capital reserves to invest in infrastructure.  They're soft targets.  Security needs to be baked in from the day a service is created but many Bitcoin services are more concerned about rushing to market than they are about security (they probably tell themselves they'll invest in "proper" security once the profits are rolling in, not realising that a rapidly expanding business often makes little or no profit).

Until Bitcoin service providers lift their game security-wise, people should severely limit the amount of BTC they store on such services.   Bitcoins stored on a service are always at risk.  You accept the risk of them being lost or stolen by leaving them on deposit with a service.