I would not have any problem with someone that keeps a small amount of money in an exchange because he wants to trade or he is waiting for his orders to be filled, that is completely normal, the problem comes when people use the exchange wallet as their main wallet because they think it is more practical.
But then the exchange gets hacked or they close their account and they finally realize they never had coins to begin with, and I think there is the risk that governments will begin to confiscate the wealth of their citizens to pay their debts, and bitcoin is definitely an asset they will like to have at any cost and exchanges are an easy target for them to get all of those coins.
You said everything very correctly. Governments can pose a very big danger not only for cryptocurrency users, but also for large cryptocurrency companies. This is another example of why it is impossible to keep large amounts of cryptocurrency funds on the accounts of cryptocurrency exchanges. I believe that all cryptocurrencies should be stored in their wallets in complete safety.