In general, no, it is not better in terms of security
The fact that you control the keys doesn't in the least mean that they are safe. The vast majority of users cannot set up their desktop computer in a secure enough way. Since most users today are still using Windows, you can't possibly consider your coins secure at all, even if you install antivirus, firewall, and whatnot. Coins from personal wallets get stolen everyday, we just don't hear about all these cases for either the minute amount being stolen or unwillingness of those from whom coins got stolen to expand on this. It is like car crashes versus plane crashes. You hear about plane crashes in the news but the number of people killed in the former by far exceeds the number of victims in the latter. So what is actually more safe?
I was of course referring to people that know what to do and how to increase the level of their security. I personally do that by making use of a hardware wallet. But sure, there are enough people that don't know how to properly secure everything. Let me ask you a question -- how do you take care of the security aspects regarding your regular usage wallets and of course your cold wallets?