Yes! One should not keep all coins in an exchange since it is very risky. We dont know if it is still there tommorow as we wake up. And although some exchange are very secure still there are lots of hackers that are willing to steal your coins. All i can advice is to invest what you can afford to lose.
Correct the risk of putting your coin in one exchange was too high than spread your coin in multiple exchange or investment, we always remember that there is a big exchange before that it turn to scam.and i also agree that we need to invest only the amount that we can afford to lose.