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?
Are you not aware of exchanges hacking incident? Regardless of the reputation of the particular exchange the risk is always there either your finds might be stolen (compromise), freezing of account or hacking. Thats why its not advisable to store your crypto on exchanges for long and use it as your wallet. Like what other user's said, "not your keys, not your coins" so better to hold your bitcoin securely by holding your own private keys in a trusted wallet.
OP probably was aware about that but his main concern is about the staking that's why he left it on the exchange. You can't do anything with your coins once you put it on stake but you do have a choice to either put it for long term or take it anytime you want.