Nothing is safe in my own opinion, the only thing i might consider an exchange is because if they get hacked, they normally refunded the people that are affected, but notwithstanding, storing your coins in the wallet you have the private seems to be the best, exchanges might delist the coin, or implement policy that might trap your coins in their exchange.
But I've seen plenty of exchanges that got hacked only offer refund for few percent, for example %40 of the total funds the client have it's happened a year ago if Im not mistaken and it's really dangerous considering that the security of the exchange really depend on the developer not
the client, refunding only a half of amount will definitely make the client losing money and put the client in an uncomfortable position while actually the exchange should have all the responsibility.