To start off my post, if you don't have the private key, the keys aren't yours.
This is so fundament important in bitcoin.
You have to understand, you and you alone need to be in control of the private key in order to own bitcoin. Having coins on an exchange is not the same as holding bitcoin.
Basically the exhange gives you a "I owe you note", that they "promise" to give back the bitcoins you have transfered to them. There are no gurantee for this. It is a fact that most exhanges runs with a negative ballance. If all user at once redeemed the "I owe you note" (redraw bitcoins from the exhange), then will there not be enough coins for everyone. This was very much the case with mt.gox as well.
Bitcoin exhanges can bassically generate money out of the thin air, when some one transfer $100, then can they give you $100 worth of bitcoin, that someone else have transfered and keep the $100 dollars for them self. This goes very well as long as the economy is expanding and new users are joining. But as soon as the bitcoin economy goes back, then does people start "redrawing" and BAM, the exhange was suddently "hack" and all the coins are gone.
Just dont keep funds there... you
will loose money.