As we all know, any centralised exchange shouldn't be treated as a crypto wallet. Well, even if we don't store the funds in exchanges, we still need to use them, though we can use decentralised exchanges.
We have to make use of a non custodial wallet if we think about using a wallet, that with centralized exchanges are just accounts we created from them and they have the wallet connected to each account with them and they have refused to render us the keys to any of those wallet, such that if anything should happened to our account, the fund connected to it is also gone together.
But many of us have been using centralised exchanges due to many reasons. So even if we buy coins from the exchange, we need to move our funds into there and buy coins. Later we can move to the non-custodial wallet.
An exchange as you have said is not a means of storage for our asset, we can only exchange from one coin to another using an exchange and then make use of the p2p network, aside these, leaving your coins on the centralized exchange is a risk we are taking on our own self, because not your keys is same thing as not your coin.