As someone who has only ever traded peer to peer, and has never be scammed, phished, hacked, or otherwise lost coins even once, i would argue that peer to peer is far safer than trusting a centralized third party completely with both your data and your coins.
At least by using peer to peer you are reducing the amount you can lose. If you have a bad experience with one trader then you can find a different trader and only lose the amount that you were trading. If a exchange exit scams you will lose all the money that you have stored on that exchange and they could sell your data as well. Of course you should not be storing all your Bitcoin on a exchange and should only store what you intend on trading but I bet most people do not listen to this advice and store all of it because it is easier.