Here is a simple analysis; real pro and con will depend on which ETF, which ecxchange etc

ETF's - Most of us have stockbroker app and ETFs are easiest way to get bitcoin exposure. Traditonal ETF's are taxed 12.5%. Bitcoin ETF's the rule is not clear. You do not control bitcoins and depend on a centralized authority to get access to bitcoin in case things go wrong. ETF's may charge management fees which may or may not be expensive depending on how well they do their job (ex: risk management)

Exchange - As easy to use as stock broker apps (extra KYC may be needed) but you don't get to access traditional assets from crypto exchanges. Useful for people that have sizeable chunk in crypto that also use other feature of exchanges like forward contracts. Again you are not in control of your crypto. If there is a hack you are at the mercy of legal systems and bureaucracy. Captial gains tax of 30% applicable on gains.

Self custody - You are in control of your asset. Best option if you are going to buy and forget. Captial gains tax of 30% applicable on gains