As much as like the idea that there's no intermediary when it comes to P2P, I don't want to be a victim of a scam or anything malicious like that because when it's a raw P2P trade, the possibility that the other party won't commit to their agreed trade gets much higher and they don't have to crafty about it unlike having a middle-man/intermediary where they need to fake some confirmation to even pull off shit like that.
The main problem in certain local p2p transactions is the fear of being cheated by anyone claiming to be an intermediary because the possibilities of being defrauded are quite high. I've had a similar experience, even though it was in a Telegram group or channel where they claimed to be actual p2p and I was duped by them. That is why I prefer utilizing CEX p2p to avoid such scams, even though they are not completely reliable due to centralization, but they have a reputation.
Also, I don't get how it's confusing, you're just using the exchange as a platform to conduct a P2P trade, it's not like they actively meddle in the trades itself.
It is straight-forward, and you have nothing to fear since the exchange will be the middleman in the transaction; you have to receive your money before you release crypto for the buyer, which is a bit safe.
I don’t find anything bad in doing this with any exchange; all I always avoid is leaving my coin in their custody. I only send funds to the exchange when I am ready to convert them to FIAT.