It should already be common sense that you dont store any valueable thing anywhere without being the owner of the "store". Noone would give all of his money to complete strangers and hope that they manage it, so noone should do this with his coins, too.
I agree with you, but one still need to make use of the exchanges services sometimes, take for example traders that are using their coins for trading, there is no other 2 ways about it than to store their coin on these exchange wallet, because it will be unwise for them to keep transferring coins from time to time because of the fees they will keep paying for doing so.
The only option would be for us to leave our coin on the exchange, but if one is to do this, it has to be on very reliable exchanges that one can really guarantee that there security is strong and would be difficult for hackers to hack them like Binance.