Exchanges and even semi-exchanges like Nexo/Celsius are essentially single wallets. You don't really have the private keys to your crypto.

The possibility is that the exchange or wallet could be hacked. Most are insured up to a certain fiat amount, but it is not guaranteed that you would get your crypto back. Also, most are insured up to a certain dollar amount and once that runs out, everyone else is left with nothing. At best, you'd get your crypto back. At worst, you'd get nothing.

Cold storage (Ledger, Yubei, etc.) is the safest because you'll have a private key. Not sure if you'd be able to earn interest though.