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?

I received RPX tokens in the NEO-GUI-RPX wallet during the ICO but I have not tried to transfer RPX from the exchange to this wallet so I'm not sure if that will work. AFAIK the NEON wallet was also updated to be able to be used in the RPX ICO.
You could do a test with, say 1 RPX, and try sending it to the NEO-GUI-PX wallet.
https://github.com/Red-Pulse/neo-gui-rpx/releases