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.
Yep, those exchanges can track more than one trail to see if it ends up in any blacklisted origin and can freeze the account just for that so if we want clean bitcoins then we have to use DEX but do we have enough options for that nope. Let's just give you an example Bisq is decentralized p2p for bitcoin but the number of trade happens won't even be 1% of the numbers we see in centralized exchanges or p2p that gives us the clear picture of how centralized the system currently is even we got options to bypass and people doesn't really care about these things even when they deal with bitcoin.
As a bitcoin community we can help them to teach about these things and make them to realize the importance of decentralization and stay out of the centralized bodies with our main stash.