Storing tokens on ethereum will be safer than you save them on the exchange. Because we can save the pirvate key from the wallet we have. This is different from the exchange, because you don't have your own private key. Moreover, lately there has been a lot of piracy on exchangers.
Yeah I agree, storing in exchanges especially if you are holding longer period is dangerous because some might shutdown and I knew some cases like it were my friends tokens/coins are trapped in it. Better in a hardware wallet because you have control over it.