So tell me, where else would you bitcoin for the very first time? In an ATM on a public street? From some stranger paying cash? If you are new, whether you like it or not, buying from an exchange is still the safest way because nowadays exchanges are pretty much idiot proof, so it's very hard to lose your funds if you have a little brain.
Of course and you should use an exchange, but it doesn't have to be a centralized one. Use decentralized exchanges; there's no privacy invasion, no extraordinary fees, no KYC nonsense, no middlemen who own your money.
One with good reputation is
Bisq.