depends on the use you make and how to store them. I recommend you to create a wallet-qt, I think it's the safest one. keeping them parked in the various exchanges is always a risk due to the increasing number of hacker attacks. Always enable the 2fa factor for protection and many wallets are very secured in a way that it has own authentications.
True, the wallet is probably what matters most to users. The protocol itself is safe as well, no fake coins have been generated so far.