Actually it depends,

1. Are you technically literate.
    * So you know how to sync data, & secure your device from hackers. *
   
2. Do you backup your data offsite.
    * Do you backup your data using encryption.*
    * Do you take that data offsite. *

3. How many coins , are you trading.
   * Multiple blockchains require multiple sync times.*

4. Taking time to send coins to the exchanges, could cost the traders extra time and money.
    * Fast trading times can sometimes make the difference, earning a profit or a loss.

5. Faster conversion to fiat if needed.


Yes, if an exchange crashes you were better off storing at home,
but if your House caught fire , or your device stolen, or earthquake or floods,
then you would have been better off storing on an exchange.

So while there are advantages & disadvantages to both,
the user needs to decide which concerns are more important to them and their own desires.

Their is no one decision that fits every user.
So while self custody might be suitable for some, thinking everyone feels the same is naive.