Can someone please give me examples of centralized and decentralized exchange platforms? Did I get it right, that centralized platforms have your private key?? I think I never used a centralized platform. As far as I know, no one has my private key...I hope.

Centralised = Binance, Bittrex, Poloniex, etc.
Decentralised = Forkdelta, IDEX, Binance DEX (not yet live), WavesDEX, etc.
For your second question, yes. Centralised 'hold' your private key. In fact you never have an actual wallet as your deposit address is owned by them.