It does get risky. I have had that coinpw website take some of my coins when they shut down. I can't remember if they were called coinpw, I think that is what it was. Also MTGOX + BTC-E got hold of some of the coins I used to have there and I had to take a hit withdrawing the ETH I had there because the government seized a bunch of people's coins.

That can't happen if you have your own coins on your own wallet and own the private keys.