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.
If you aren't careful with your self-custody wallet, you will lose access to your Bitcoins forever. It's better to have more than one offline backup source in storing your private keys, seed phrases, etc., rather than sticking to one only. If possible, try to buy some metal bars that would let you engrave your details which are fire and water resistant.
Treat it like it's worth millions in value in which you'll do whatever it takes to secure them at all costs even in various situations like typhoon, fire in the house, etc.