The most important thing for all users of DeFi is to be sure that their funds are kept in safe place.
A lot of money are blocked in DeFi and hackers carefully monitor all liquidity pools.
All exchanges are not safe. CEX exchanges can be blocked by goverment or hacked.
DEX exchanges can not be blocked by gorverment but they can be hacked.
Now many people prefer to use DEX because they offer financial services for all people in the world for whom bank services are unavailable.
Also DEX allow to earn money for everybody for liquidity providing.