It's always better to save your BTC on your own wallet than on an exchange or any other online services.
Number one someone might gain access to your account and run away with your money.
Number two, the exchange may experience some ddos or other type of downtime when anything might happen. From you not being to access your money when you need them urgently, to losing your money altogether.
Number three the exchange might decide to do an exit scam and just take everyone's BTC, shut down and run away.
Better safe than sorry.
you can also download software wallet like electrum/multibit/bitcoin core (slower than previous two) and safely store your bitcoin on your computer.
And if you do that, don't forget to back everything up somewhere, cause you know...computers.