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?
Well, I somehow got your point. Small amount of cryptos or even 1btc amount of Crypto might be convenient If it sits to a trusted exchange or any other trusted local custodial wallets, so you can move your asset swiftly and is always available for trading.
But, everything is different when someone is holding like 100 or more Btc. Do you think It's safer to store this huge amount in any of the exchange? Hackers would notice this and they'll try to attack you in the most unnoticeable way.
Or the Exchange will put limits on your withdrawal, block or prohibit transactions for a while and sometimes website maintenance may cause inconvenience.
Therefore, coldwallet is still the most secure and convenient way in accessing your asset.