Some people says that the wrost thing to do is leave your bitcoins in some exchange.
I have 200 usd of btcs in Payeer, it is a online wallet but it also has a exchange.
Do you recommend to me to move this bitcoin to a wallet like Electrum?
Yes, leaving your coins in an exchange in the worst thing to do. This is because they are not secured enough. The owner of the exchange can easily ran with your coins. Or some hackers hack into the site's server and take all the funds. The best way to keep your funds is to have them in a wallet where you control your private key. If you can store them in a hardware wallet, that is much better.