Talking about keys, I've seen the new trend of CEX like Binance,Butget and OKX incorporating seeming decentralized wallets into their deliverables and those wallets have keys, just like Reputable decentralized wallets too. I would love to warn anyone who surely loves his coins not to in any way preserve his coins in CEX wallets, Do not be deceived, they have control over your coins if you leave it in their wallets.
It is advisable to use Reputable ones which are open source like Electrum, Blue wallet e.tc to have more controls over your coins. Anything from CEX is not decentralized, no matter how they paint their story, BE WISE.
There are many cases where centralised exchanges have seized accounts of users for different reasons like not doing KYC etc. If you have your coins in centralised exchange then there are bright chances that you may be stripped off from your coins without any reason, notice and warning.
Storing your coins in decentralised wallet should be the prime rule which all of us must follow. It's not very difficult to secure your decentralised wallet if you have done basic measures like not securing your seed online. The real advantage of securing your coins in decentralised wallet is that even if you access them after years they will be there. You are the boss of your coins only if they are in your decentralised wallet. Happens with me, I forgot I have bitcoins in my wallet but once I access my wallet after a gap of months I found them as it is. I don't think that will be the case if I have stored my wallets in centralised exchange.