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.
I usually do not keep more than 10% of my funds on any exchange. You cant be always sure about the security of your funds so having a secure cold storage is what I trust and use to store my bitcoins. There is 2-factor authentication enabled but still it does not guaranty the full proof safety and it has nothing to do with the hacking of the website network. The best way to trust on self and maintain good and secure cold storage.
It's personal for every person as we all have different standards for how many coins we need to do some trading for example.
But putting that aside, you pointing your focus at the security of an exchange is always a good thing, but nowadays operators performing inside jobs pose a much bigger threat than hackers.
Look at MtGox, MintPal, Cryptsy, it were the operators that have made these exchanges go down with a lot victims as result. I believe Bitfinex is no difference. It was an inside job.