It depends on your crypto strategy. If you are going to hold tokens there is no difference where to hold. But an exchange is more simple and useful. You can check your balance, price of tokens, buy or sell in one place.
If a person Intend to hold In a short-term period, then better for himm to put his coin In an exchanges site, so that Its easily to trade, once It will the hit target price that he has awaited for. But, when Intend for a long-term It should be keep on your wallet, to avoid being loss.