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.
That might happen depends on the rules of the government but other else depends on the value of the coins. Though it is not a reason to drop out the exchanged because their is a way to go through. After exchange put it in your wallt so that you will be able to use in neccessary way.