Is it possible to withdraw XRP from Kucoin
Yes it's possible now. Go on Kucoin website it's on their lastest news.
Where I can keep their tokens? They are not ERC20 tokens. They have own wallet or no? If not, than i can keep coin only on exchange?

It's RPX (Red Pulse) not XRP (Ripple). It's NEP-5 token (NEO Blockchain). Wallet is Neotracker.io