Centralized exchange wallet are nothing different from the exchange it self although you can have your private key or seed phrase but the scare is there on how it was stored maybe the exchange has access to the seed phrase who knows since it is closed source wallets. So it is definitely a no go area.
Centralized exchange wallet is the same as centralized exchange. The wallet owned by the exchange to custody the coins of their users are referred to as centralized exchange wallet. It is not a noncustodial wallet developed by the exchange. If a wallet is developed by an exchange and it supports seed phrase, it is referred to as noncustodial wallet just like other noncustodial wallet. All of them that I know are close source which makes them not recommendable.