Even large and well-known exchanges do not guarantee security. The coins are simply not in your hands. The MtGox example is enough.
If they are large transactions, it is definitely better to divide them into several smaller ones.
divide withdrawal to smaller one doesn't make any sense. You need to pay bigger fee rather than withdraw it only for once. You must learn every exchange site too, do you need to KYC or not to withdraw your money. Bigger exchange sites are better than smaller or new one.