is a bad idea to keep the coins on the exchanger, we can see in the past lot of people losing money doing this and the best example is the MTGOX, millions was gone in that example, but that doesn't mean wallets are the most secure thing. But at least with wallets you can backup the private key, that way if the wallet get fucked you can import the private key from your addy to other wallet and access your coins.

So, my recomendation is to use exchangers only when you want to exchange, other way hold the coins in your wallet.