I won't send my PRLs on an exchange for a Snapshot...too risky
Do you mean that the only way to get the airdrop would be to send it to one exchange (kucoin)? That would really be bizarre. And a bit dangerous, since for a while all existing pearls would be centralized at Kucoin.
No, you don't need to send PRL to an exchange.
You can just keep your PRL's in MEW its fine. Oyster Shell (SHL) will automatically appear in your wallet ex. MyEtherWallet after Airdrop. Any wallet with Private Keys is OK, but you must have private keys.