Consensus seems to be a decentralized wallet such as bitcoin core or (debatably) electrum.

I myself consider exchanges themselves to be centralized wallets and treat them as such. That's why when Cryptsy fell to ruin I was understandably furious but not SOL, because I kept the vast majority of my coins in a private wallet on my offline laptop that has one use and one use only, to keep my coins safe.

I wish every bitcoiner would know that any coin that sits in a wallet they don't have the private key to isn't their coin.

It just isn't. If (when) that centralized service provider goes dark, there is nothing you can do. Because everything you could have done and should have done is the only protection you have. Keeping just a small fraction of your coins in an exchange when you want to trade them is a calculable risk, but the services offered by these exchanges are too incredible to resist for the average user. They see the exchange as reliable and don't hesitate to hand their coins over to the exchange, wide-eyed as they read the features list, until wham.

Their coins are gone. R.I.P.

Shoulda/coulda/woulda kept them cold.