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?
Your private key is the most important aspect determining the security of your crypto asset, and exchanges have access to everyone's private key, thus your coins are not protected. You are responsible for retaining your private key, which is why non-custodial wallets are the greatest option for storing our money because we have complete control over our wealth because we have our private key.