You need to learn that your funds reside in an address, in the blockchain. The only way to access those funds is by signing transactions using your private key. So if you are careful and manage your private key offline (never store it online, never enter it into websites for "aidrops" or other phishing attacks), you will be fine.

If you store funds in the exchange, you don't have the private key. The exchange has it, so the exchange has your funds. Not you. Your funds are in an address controlled by them, not by you. It is their address, not your address (just tied to your name). 

Exchanges are unregulated, they are not banks, they can be hacked, and they are hacked despite all the security measures they take. They could even disappear overnight.

Keeping your funds in an exchange, in a wallet you do not control because you don't have your keys, is very risky, is also irresponsible.