I think both are ways to store coins/tokens but here’s the big concern. When you store your coins in a wallet controlled by an exchange, that exchange actually holds the private keys. In other words, it’s sort of like the exchange storing your coins in their own wallet and giving you access via an account. You don’t actually have the coins in your own wallet that you fully control, as you would with a traditional wallets. I think it's better to use a private wallets rather than used an exchange wallets because, if the exchange site is hacked you may loose your coins/tokens.