I guess for me I would much rather have $1000 bucks at bank of america than ten one hundred dollar bills at home in a dresser. Of course that's not a perfect analogy because the exchanges are not FDIC insured.
Perhaps in the future when crypto is more mainstream, crypto assets will be insured and backed by the banks and that will make cold wallets obsolete, or maybe I have no idea what I'm talking about.
Regarding the 'naturally paranoid' statement, I think you are on the money with that one, but it boils down to most of the BTC users being brought up in the earlier stages of the internet where there was little to no regulation and we have learned to become more suspicious, paranoid and aware of the dangers that the internet brings.