https://imgur.com/NRI0Mp0
Does that mean that EMC2 isn't and ERC20 token?
Yes, correct.
In this case, which option's do I have to stock them in a secure way?
I don't want to let them on my wallet on the exchange.
The only option is to use their official wallet?
https://www.emc2.foundation/wallets/
There is other altcoins that aren't ERC20 tokens and that haven't their own wallets. Is the exchange the only possibility to stock them?
Yes, the only option for some coins is to store them in their official wallets.
Which coins haven't their own wallet? As far as I know, any coin with a blockchain has its own wallet...