Do you want me to tell you the big secret and the downside, which the exchange hides from everyone?
Did you know that all wallets with your money belong to the exchanger, not to you, and in any unclear situation it can take away your access to them. Today I have a question to the exchanger, and I asked for a private key to my wallet — to what the exchanger employee told me — that he can not give it to me, because the wallet does not belong to me, and exchanger only provides access to certain addresses on this wallet!
This is true for any exchange, whether crypto or fiat, and no one hides it. In addition, even if they gave a private key, what good would it do if it is already known to the one who gave it? You have to withdraw the income to your wallet. Not to mention the fact, that there are many technical and security reasons, that no exchanger would give out private keys from purses. If you want to exchange cryptocurrencies without exchanges and have your private keys with you, there are wallets like Exodus, but they usually have very high exchange fees. Exchanges are more profitable and convenient for frequent cryptocurrency exchange operations.