Since most are focused on telling you about the risks when the company closes down, that shouldn't be your biggest fear at all!

If a company closes down just because it wants to end its business, there you might still have the chance to get your funds out till a certain date, usually a few months before the wallets become inaccessible!
But, that's a good ending scenario!

Using a wallet that you don't control will for sure not end only with a company closing down, it might end with
- the said company gets hacked - you lose your coins
- the said company getting "hacked" - you lose your coins
- the said company is bad at business, FTX style - you lose your coins
- your account gets hacked but the company denies it's their fault - you lose your coins

So there are a hundred more bad ending scenarios other than just shutting down!