Although storing your coins in the exchange wallet seems safe, but it is not impossible for some hacking activity.
I remember some exchanges have been hacked few months ago, but they were quickly take any further action to prevent more damage.
If you want to store your coins for long, i suggest not store it in the exchange wallet.
Yeah, it is. For example,
CEX has suffered one hacking incident in 2013, but it happened at the time they made their first steps. Since then there were no incidents, and the company has worked really hard on their security.