The problem with exchanges is the lack of strict regulations, and usually you are sending your money to other countries with different laws which you probably do not understand and/or have difficult to reclaim your rights. Especially cryptoxcrypto exchanges, which are usually physically located in remote locations with convenient laws (for them).

There are very strict laws and regulations on banks, which give us more safety and some warranties that banks will not run away with our money. Those laws/regulations are not so strict on cryptocurrencies exchanges, so they can run away with our money easier.

The best practice is to always keep your funds out of exchanges. Do not leave any money there. Always move it to your wallet, no matter how much you are paying in withdrawal fees.