This is one of the concepts im struggling with as well, I have been playing around with this exchange for a couple months now off and on and I still can't really say that i understand it.
So if the gateways hold your coins do they have access to those private keys? Also confusing is the difference between local wallet and cloud wallet....there are like 4 different kind of keys in your account...almost like steem...i dont even know which ones i need to backup.
I will say that the staking and bonuses they are offering are pretty juicy right now, staking BCO is very profitable i think
as i understand this, your coins are frozen in smart contracts and nobody can steal them. but if a governance or anything else would shut down the bridge your funds would be lost. idk about 4 keys sorry i was just using my old bitshares key in the unix application