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?
You have nothing to worried about your funds if you are doing the right thing and if there are no suspicious activities that might be caught their attention. Binance and some exchanges will take action and possibly freeze your account if you violate their rules and that is why we should be aware of what we're doing and must abide by the rules of the exchange otherwise.
But if you are using non-trusted exchanges, chances are;
-lock your account
-steals your money