If there is good wallet for the coin/token - of course wallet. But sometimes the coin wallet is a piece of shit with many technical flaws, so in this case use few exchanges.
You are just basically pertaining into some altcoins in the market which do have correponding wallet. I do only prefer or make use of erc20 rather than on new ones or depending on the platform being used up.
If you do not know how to trade and only want to hold a personal wallet is the way to go for sure! I myself got me a ledger that I am using for my long term holds.
For long term holds theres no other good way to store up tokens but would really be on a hardware one rather than on using up exchangers. If you dont like to experience hassle and problems and risk then better avoid those exchanges.