Which part specifically is worth it? The part where you risk identity theft and having your documents sold on the black market by completing KYC? Or the part where you lose all security by depositing your money to a centralized exchange? Or maybe the part where you have zero privacy as the exchange monitors your deposits, withdrawals, and transactions, and shares/sells that information with/to a bunch of third parties? Or maybe you mean the part where you lose all sovereignty over your money and allow a faceless stranger somewhere in the world to decide whether or not you are allowed to access your money? Or maybe the frankly ridiculous fees of tens or even hundreds of thousands of sats they charge you for all this?

For every one case of someone losing funds due to a DEX, I could show you 1000+ cases of someone losing funds due to a CEX. They are not safer.