To be on the safer side and not lose your bitcoin, because of regulatory compliances, from a centralized exchange wallet, it is better you first receive any bitcoin payment into your wallet, that you control with your private key/wallet seed phrase saved and can restore the wallet anytime.
It's safer, I agree.
No lose coins, I disagree.
If your intention to receive the coins first in non custodial wallet then send it to centralized exchange and think they won't freeze your coins, you're incorrect. Many centralized exchange not allow "concealing", they track your coins not only looking by the latest address.
If people worried with regulations and laws, use no KYC P2P or DEX instead.