I do agree, from a business perspective i.e only thinking about profits rather than customers security, it makes sense to have a web wallet on your platform. Although, I do believe this is where Bitcoin should be the outlier, we've gone through all this work to assure that people are free to hold their own money, and be responsible for it, why would we then want to encourage the same capitalistic ideals, that corrupts traditional fiat companies?
I hate the fact that a lot of companies pretend that they're looking after your best interest, and the annoying part this does actually convince a lot of their users. However, while they might appear to trying to improve their services for the user it's all about how much profit they earn. Having a web wallet, is probably fundamental to their success as a platform unfortunately.
Often, what is best for the consumer alligns with what will make a company the most money. The reason for this is because consumers will ultimatly act rationally and in their own best interest, and if a company is offering a product that is not in line with what is best for their customers, their customers will not buy said product.
There are real drawbacks to things like DEX's such as lower liquidity and higher spreads. There are also real costs associated with forcing customers to withdrawing their coin immidiatley, such as it being more difficult for the customer to later sell their coin if the price moves a certain way.