Personally, I would never depend on crypto sites to safeguard my assets which is why I tend to store my funds(Big amounts) in reliable wallets like Trezor, Exodus etc.
Enabling 2FA in regularly visited crypto sites also helps boost security.
2FA is another good second layer for security but where you store your 2FA is important. Many people store everything at one place, on one device they log in their email, their accounts and have 2FA applications there too. They maybe store information for their accounts, emails, wallet backups, 2FA backup codes at one place too.
Even if the site is secured, your data might not be safe outside this site especially if its regulated and the site submitted or all data to the regulator. The best way to protect your assets is to put it on your personally wallet, I'm always withdraw my money and never store any funds to any gambling site, I find this more safe and is a must. Choosing the best site can also lessen your worry, with this Roobet is one of the good choice based on my experience.
Personal wallets are good but people should choose open source non custodial wallets for their personal wallets.
If they choose close source wallets, maybe there are backdoors and black swan events can occur.