It seems to me that it would be safer (and more convenient) to keep your crypto on an exchange (coinbase, blockfi etc) than cold wallet. Wouldn't the odds be greater that you mess up your cold storage than a large exchange being hacked or whatever (even if they are hacked, that wouldn't necessarily mean you would lose any coins, whereas if you are hacked that's a different story). I ordered a ledger nano X but it seems that the exchanges are still the way to go based on probabilities. What are your thoughts?
I don't think you really understand what having to Hold lots of Bitcoin means. We are not talking about owning a few satoshis in an exchange, but a major amount of Bitcoins. From this chart, you would realize that more Bitcoins are held outside the exchange. the white line is the price of BTC and the Blue line is the amount of BTC held in exchange wallets and it continues to drop meaning more people are storing their Bitcoin in other storage outside the exchange because they understand the risk with the exchange.
Source:
Bitcoin Exchange Flows]=https://cryptoquant.com/overview/btc-exchange-flows/247?window=day]Bitcoin Exchange Flows