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?
Do you really need to ask this mate? haven't you read exchanges being Hacked ? or something happens to the Users through Phishing ?
try not to risk your money in places where you are not the One who holds the Private key, because there is a saying that
"Not your Key , Not Your Bitcoin"if you want your funds to be safe for long time ? if you are Holding ? then best to use ledger wallet.
or if you are using the funds for trading daily? then best to limit the amount used for trading so you will not risk all your money inside the exchange.