Of course it is a bad thing, risking our bitcoins on any exchange in my opinion is not feasible for us who aim to invest long-term, it is possible that they could go bankrupt and take our bitcoins, as happened to other large exchanges in the past, just make it a lesson and don't let us be fooled again in this case, store bitcoins with your own control to be much safer.
Exchange is only made for us to buy and sell bitcoin, more than that I think don't ever be tempted by the percentage of storage on their exchange, it indicates that they lack liquidity in their exchange, you need to think twice if you want to keep betting on it.
I also agree with you, usually the private keys of the wallet are fully under our control, giving you full control over your holdings. If you use a hardware wallet, it is more secure, because it is offline, there is no possibility of losing money in hardware wallet. It is the most secure.
And holding on to the exchange is fraught with risk. Because exchanges don't give you full control over your money. Moreover, the possibility of money being hacked on exchanges is very high. If you want to hold cryptocurrency long-term and security is your main concern, then wallets are more suitable.
Even though we believe that hardware wallets are the most secure wallets for storing bitcoins, make sure you buy first-hand or directly from producers, don't buy second-hand or even third-hand it could be planted with chips to get into your wallet, this is just a form of caution so that the bitcoins we have bought and stored are truly safe.
Don't forget Mt.gox and FTX as a big case for you not to store bitcoins that have been purchased on the exchange as a sign of learning.