At the same time we shouldn't also ignore that self-custody comes with its own challenges, I mean we heard and seen cases where people lose their wallets and their seed phrases. Buut even with those risks, one thing is still certain which is that once you give up your keys, you have given up your control.
Another thing to note is that you can predict and plan preventive measures accordingly if you're using a self-custodial setup. I don't think you can say the same thing for a centralized platform. They offer 2FA, passwords, and so on, but there's nothing you can do to make sure they secure their end properly. So many cases where an exchange got hacked because an employee fell victim to a phishing link or something similar. You can't do anything other than withdraw your money whenever you don't trade to anticipate that.