You may have heard of James Howells and his $11 million plan to find a hard drive with $181 million in Bitcoin. That is a risk of self-custody. His chance of finding his bitcoin is actually good.
If you had bitcoin held on FTX, there is no amount of money or time that will bring those coins back. They are gone. You have a 0% chance of finding those bitcoin.
Even in the worst case scenario, self-custody is better than an exchange.
Not your keys, not your bitcoin.
Each with its disadvantages but one definitely outweighs the other, when you have your bitcoin on an exchange, is just like putting all your eggs on a plain surface knowing fully that it is not safe to keep them there but if you provide a crate for them, they will stand firmly, even if something that tends to shake them, they wouldn't break nor move. That is one of the ways centralized custody differs from self-custody.
I don't think there is much risk associated with self-custody if you do your things with due diligence, the case of that guy not finding his hard drive was a bit of negligence, he didn't do proper backup nor inscribe his passphrase on a metal piece or safe place, it would have been easier to gain access to his bitcoin, self custody is the future of bitcoin and I love how everyone has woke up to the reality of not your keys, not your coins.