Even in the worst case scenario, self-custody is better than an exchange.
Actually it depends,
1. Are you technically literate.
* So you know how to sync data, & secure your device from hackers. *
2. Do you backup your data offsite.
* Do you backup your data using encryption.*
* Do you take that data offsite. *
3. How many coins , are you trading.
* Multiple blockchains require multiple sync times.*
4. Taking time to send coins to the exchanges, could cost the traders extra time and money.
* Fast trading times can sometimes make the difference, between earning a profit or a loss.
5. Faster conversion to fiat if needed.
Yes, if an exchange crashes you were better off storing at home,
but if your House caught fire , or your device stolen, or earthquake or floods,
then you would have been better off storing on an exchange.
So while there are advantages & disadvantages to both,
the user needs to decide which concerns are more important to them and their own desires.
Their is no one decision that fits every user.
So while self custody might be suitable for some, thinking everyone feels the same is naive.
FYI:
One little thing , if every single person pulled all coins off the exchanges,
all exchanges immediately become insolvent,
then the Trading Volume collapses and all of your coin value collapses without constant fiat exchange.
No fiat exchange, and your crypto coins become pet rocks, that no one wants.
*No Crypto Markets , No Fiat Value.*
Be careful what you wish for.
FYI2:
A more prudent thought for many , might be to use multiple exchanges or keep crypto as a % of one wealth, not as the entirely of one's wealth.
IE: Don't keep all of your eggs in one basket.
* Until Crypto exchanges are forced to enact their own version of FDIC, which insures a value is available for withdrawal even after an exchange collapse,
then you are in the wild west of crypto, just the same as banking was before the FDIC was enacted for banks.*
FDIC: The FDIC is a United States government corporation supplying deposit insurance to depositors in American commercial banks and savings banks