When talking with experienced Bitcoiners, the sentence you you hear the most is probably Don't leave your Bitcoins on the exchange. It is understandable as the trauma of the Mnt Gox debacle is still fresh in those people minds, however as Bitcoin reaches mass adoption I expect that the vast majority of Bitcoins will be held on exchange accounts for one simple reason: The common man does not want the responsibility of managing his bitcoin account. Simple as that!
With a wallet you have control over your money. That also means that you are responsible for safely storing your money. There is no one to give you back your bitcoins if you lose your wallet keys or your HD seed. If you die and you didn't plan for your heirs to have access to your wallet, your money is lost. I expect that this will be unacceptable to the average European or American who is used to complain to his bank if he has to pay for a replacement Visa card. Imagine if you lost the contents of your checking account in case your debit card was stolen or misplaced, do you think it is a situation most people would be comfortable with?
Of course there are disadvantages to storing your money in your exchange wallet. Even recently Coinbase locked an account to be used for someone's legal defense. As the Bitcoin industry matures however I expect these issues to recede and the risk of losing your keys to become higher than the risk of having your funds locked or seeing your exchange go bankrupt. We are not there yet but I think it will happen relatively soon.
What is your opinion? Feel free to discuss it in the comments.
Picture Public domain by Tim Evans