This is a difficult question. And tbh, the idea of treating exchanges as wallets has been appealing to me for a long time.

I'll tell you why: Exchanges have 2fa and 2fa for sending out coins too. Your wallet and private keys don't have 2fa unless you're using an expensive hardware wallet.

So even if someone hacks your computer and puts a keylogger, they can't access your exchange without your 2FA.

But exchanges can get hacked, and that's how people can lose their coins.

I personally feel that Coinbase's Vault option is a good wallet. I believe you can't take things out of their vault without 2fa and some other security measure.