Crypto Bridge is a decentralize exange... is it safe to let the coins there?
What can happen if the exange goes shut down but I still have the cryptobridge private keys ?
It's much harder to shut down a decentralized exchange, I wouldn't worry about it. A DEX is basically a P2P network like Bittorrent or Bitcoin - you would need to shut down the whole Bitshares network to strangle Cryptobridge. And most likely that would be the end of most crypto-coins if it can be shown that shutting down one blockchain is easy.
Personally, I try to use Cryptobridge or IDEX or other DEX wherever possible and feel way more comfortable leaving the coins in my DEX-wallet.