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.
Keeping bitcoins in your Wallet actually gives you the complete access along with responsibility, in the example you mentioned the chances of finding the lost hard drive is less and probably zero in my opinion but the point is you will have a chance but if you gave the responsibility to someone then you can't really do anything about it.