Anyway, there are definitely risks to self-custody, but stupidity isn't one you should be too worried about, unless you're an idiot that might throw away your private keys, in which case it might be better to store them on exchanges. I think a bigger risk is the $5 wrench attack or having your computer infected with some sort of virus.
Such could happen as a result of privacy negligence; downloading untrusted programs, visiting unsecured sites and apps etc. And the outcome won't be extremely bad like a collapsed exchange. It's a number game and the lesser the affected people the better. Exchanges have a wide variety of loopholes from third parties like staffs who have access to secret files that can lead hackers to the exchange. Ideally, it's just one address that store the whole money deposited by millions of people. Unlike the self custody that the virus will have to work on one victim per time. Unless, it permeates a viral software used by multiple people.