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.
Its possible that we all take careful measures ensuring that we are receiving transaction directly into our own personal wallet which we have control over, but come to think of it, could it be that we have the same experience like this all the time, sometimes we may receive payment from exchanges, bounties, and even from making trades on exchanges, except we choose to use a decentralized exchange.
The OP is not considering receiving money into an exchange wallet a great option to be considered when you have your own personal wallet you can receive funds into. In some occasions, receiving payment from exchanges is normal but while receiving from bounties, we can make use of personal wallets for self custody of the money when it is received. The reason some users prefer to use centralized exchange is for direct conversion of the coins into fiat to use in their local currency, avoiding small fees charges while sending to a centralized exchange either for direct exchange into fiat or for buying other coins with it. Although, keeping your portfolio in your own full custody is the best no matter the disadvantage you’re looking at because the advantages supersedes all of that.