I have most of mine on an exchange because I'm getting paid interest. Has there ever been a time when an exchange like Binance for example, steals your funds or gets hacked and people lost money?
The reasons I don't leave it there:
1. They can do whatever they want with the coins.
2. Not my keys, not my coins.
3. I have no power over my coins, other than the interaction with the exchange account that can be closed at any time for any reason.