Always use 2FA if a site offers it.
And if a site does not give you the option, move your money to a different exchange.
Still, don't keep more on an exchange than you can afford to lose.
As Mtgox, Bitfinex and others have shown, its possible for hackers to get access and make off with coins if the security on a site is not tested and reviewed.
For me even if it has 2FA it is more safe for an investor or trader to hold their available currency into a wallet. I know it would have more fees but is will be safer than actually having all your invested money into a site which is vulnerable to hackers. Also we must know that not all Exchange sites are safe so we really need to pick the best one, which we can trust our money in.
Being proactive would help us decide, we have to take a look on the risk of our investment. We can put our money in a certain exchange sites but make sure you will have to spread your money, don't rely on one exchange site only although they are very reputable as there is no permanent in this world, anything can happen and there comes the risk.