No matter how you look at it, exchanges are not meant for your assets to be stored with, for a long period of time. For reasons even if the FTX incident happened; people would get easier access with your funds especially if you are using mobile phone. Unlikely with wallets wherein you'll be needing passcodes from time to time you are accessing your funds which means better security.Another thing is being easily tempted with making your action such as selling or buying. Decisions should be well backed with ideas before engaging into it. If your funds will be stored in wallets, you'd be more hesitant 'moving'. These are just more practical reasons why putting your assets in a wallet, would be much better. Practical and logical reasons of why it should be done is better than to think of reasons because of the recent issue, which may just feed the worries of new ones in this industry.
People are simply using exchanges in the wrong way and they do not want to admit it, if a person used a hammer for a problem that required a screwdriver you will soon point out their mistake and try to correct them, and we see the same problem with exchanges.
People use them as their main wallets as they think this arrangement is more practical, especially if they want to trade the market as well, however by doing so they are giving up the greatest advantage and reason to be of bitcoin, which is to store you coins on your own and in a way become a bank.