Either you "own" the private keys which control the address or you don't.
Ive use online wallets, i do not own the private keys to those, the owner of the wallet site does, i am given a password to access those funds, are they no longer mine? Ie also lost many wallets and the private keys held within, does that mean i never owned them in the first place?
Either you have documentation from an exchange or you don't.
I dont because i dont use an exchange to buy/sell, am i required to pay 40% tax because i choose not to use an exchange?
No, this means you are making choices / taking actions which could have a negative impact on your financial situation by increasing the amount of taxes you may have to pay.
I would suggest you start making new choices / taking different actions which would have a positive impact on your financial situation by decreasing the amount of taxes you may have to pay.