Every day it seems a new story emerges about an exchange going bankrupt. Has been a recurring pattern since the Mt. Gox collapse. Why, with so many examples of failures, do people continue to keep their money on these? You don't own crypto if you have "coins" on an exchange, you have an IOU from a business that may or may not even be solvent.
Your wallet have a risk for getting hacked. It doesn't matter if it's from exchange wallet or your own local wallet, there is a chance for something happens if you do something wrong during certain date. The way of people or companies to secure the wallet are another factor to determine which is safest or not. Treat everything has a risk and you will become really careful when doing anything especially involved with money.