It all depends on how you trade, if you are a long-term trader then you do not need to leave the currency you own on the exchange, if you are a short-term trader, trade with great frequency, leaving your assets On exchange is required.
Your right, If your a long term trader leaving your coins in exchange is very risky, some trader experience losing their coins even on some popular exchange. Putting your coins in your wallet is more wisely to do,if your done on trading.