Not much debate about this. Use the event that just took place concerning the Lazarus hack on Bybit leading to users losing their money in that hack of the exchange. This backs the reason for the popular phrase "not your keys not your funds".

But with Dex it's difficult for hack than we get to hear about CEX. I think a lot of people still deal with CEX because they feel Dex is complex to deal with in navigation than CEX but we if we have to put security and self custody Frist then Dex anyday is better