All Exchanges are not created equal and one can still lose exchange coins due to exchange getting hacked or shutdown due to government regulation or some other reason. So it is useful to keep a good portion of your coins in your own wallet. To reduce the risk, use multiple exchanges and multiple wallets too.
Agreed, keeping your funds in an exchanger is extremely dangerous, You can control your funds in an exchanger, better use a hardware wallet or some cold wallets to store your coins.