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, but 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.
I won't deny that it's a valid point. I mean in some cases this can be really something that can happen without you even doing anything wrong. Like for an example if your house catches a fire or ends in a natural calamity while your seed phrase was inside. Some would say that you should keep it in an alternative place outside your home also but honestly think of it what could be a safer place than home? Also keeping it with you 24 x 7 isn't also a very good option and learning it and forgetting it is pretty common as well. So obviously this risk is there but it doesn't outweigh the risk of exchange for sure. This is something that you are doing and is very much legible, not some foolish person playing with your money by not keeping enough backing for your assets.