I whole-heartedly agree with you but I would say it's easier said than done especially when you HODL like 30+ coins/tokens. It's a big PITA to download a wallet for each one of these coins, and even if you have a LEDGER or one of these 'universal' wallets, chances are you're still going to have to download individual wallets, especially for some of these smaller cap projects that will likely never get support on these universal wallets. I would definitely recommend removing coins off of lesser-known exchanges because then you're asking to lose your coins (happened to me with Raiblocks/Nano, got screwed big time by Bitgrail) but when it comes to the bigger ones like Bittrex and Binance I honesty think most people have nothing to worry about. Lastly, I'd say with BTC, LTC or ETH, or anything you're heavily vested into for that matter, yes that's a no brainer to move them off exchanges, but any other relatively small investments on more popular exchanges you can probably get away with just keeping them there until you're ready to sell.