Exactly. There are plenty of open source alternatives available that totally respect your privacy. With Microsoft spying on users since the release of Windows 10 (using Telemetry), I'd steer clear from anything linked to the company especially when it comes to protecting my utmost sensitive data. TrueCrypt and/or Veracrypt is all you need to encrypt your flash drive without worrying about getting your data exposed to a third-party. Since private keys/seeds take little space, you can save money by buying a flash drive with the lowest storage capacity available. That is if you're planning on using the flash drive as a "hardware wallet". For cold storage options (not planning to use your crypto funds periodically), write or print the keys/seeds instead (paper wallet).
Centralized exchanges have been "messing around" with customers' funds, so it's best to practice self-custody of your coins to safeguard your investment for the long term. As long as you follow the necessary security precautions, there should be nothing to worry about. Just my thoughts