As I've repeatedly said, it's not that easy to be your own bank. Having full control of your money in this digital age isn't just like storing them inside a vault in your room. It entails a lot of responsibilities. Safekeeping your money means looking for the safest wallet. And there are certain criteria for that. So, that means you need to do some research. Looking for a safe wallet is different from keeping that wallet safe. There are a number of dos and don'ts for it as well.
And then your responsibility extends outside your wallet. You will have to be careful in dealing with emails and PMs in your social media account. You need to be vigilant in downloading apps, clicking links and ads, and so on. You should also learn how to safely store backups. If possible, you should also have some knowledge on encryption. You must also familiarize yourself with sim swap attacks, dust attacks, and so on.
This is exactly my point you summed it up nicely! People (Non tech) wants someone/somebody to keep them safe. An exchange is not as bad as you think, consider them like a bank. I know I know the point of crypto to move away from the middle man. But again we need that for some type of people who still want to be protected by someone.
How many people lost their coins/btc lots of it because they did something wrong with the priv-key, or lost a hardware, or lost something? That will not happen in an exchange. I remember reading a post back in 2011 where a guy spend on his wallet and lost 9000 BTC, the story is famous he did it on a Image/CD linux boot system which means the files disappear after one boot.
Now tell a non-tech grandmother to do this with blockchain and privkey, pubkey...she will go mad, she wants a CZ or someone else to keep her funds safe and she just must save her FACE-ID with little bit of extra safety added in email, 2FA in email, 2FA in google, 2FA in exchange acc. Then she's good.