I would love to know the risk of associated with using private exchanges apart from not being a sole holder of your coins.
I mean, millions of users have lost everything from centralized exchanges scamming, going bankrupt, or simply locking accounts, so not holding your own coins is the biggest risk. There is also the risk to your privacy of course. Not only do you have zero financial privacy with the CEX monitoring everything you do and where your coins come from and go to, but you also have to hand over all the information and documents necessary to steal your identity and ruin your life.
That depends on the exchange that you are using. If you are using Binance then I would say that it is as safe as it gets, most probably it is safer than using any type of wallet yourself, because binance can do security better than any of us can do.
This is just factually incorrect. Binance have been hacked multiple times, both for coins and for data, not to mention the possibility of a bank run or other external event they can't control. Coins on any CEX, Binance included, are never safe.