OP don't get it twisted, self custody means you're in possession of the keys to your wallet and not the exchange and this is commonly attributed to using a decentralized exchange in achieving this, while using a decentralized exchange has less risk compared to centralized exchanges because by now you've got your keys in your hands but how you handle the safety now depends on you for it safety.

Self-custody means having the wallet installed and the owners getting the private keys/ seed. Not necessarily on DEX. But it's true most of the self-custody wallets can connect to the dex or swap platforms.

I think it's advisable for someone in crypto to learn to use the DEX so that they can still have custody of their coins while trading. So far the liquidity still is an issue on DEX while, the experience on CEX is much better. In the end, the user can chose which is what he likes.

Not your Key not your Fund...
Moving your coins to exchanges that claims to be decentralized why they still require you to connect your wallet and their privacy policy said the other wise. If the exchange is purely Decentralized then you are in full control of your wallet and as such your fund protection is in your hands.. I believe all wallet gives users warning concerning risk about phrase exposure and how to secure them. As an individual one thing we should think of is to protect our phrase in every means necessary more than we even protect our bank cards.

You are messing things. How would you like to hold funds in a decentralized exchange? In any case, I don't believe it's possible. You must connect with a decentralized exchange to trade from your non-custodial wallet. This means you're exchanging funds from your own wallet. It does not imply that you have funds in a decentralized wallet. Always keep your funds in a hardware wallet or a non-custodial wallet. Don't use anything else to keep your funds.

Most people don't see the risk of storing their coins in an exchange wallet.
Most people disregard the possibility of losing control of their money if there is something will happen to the exchanges they used.
Panic has been growing after the FTX issue come out and people are withdrawing their funds from exchanges.

What happened to FTX gives a lesson to those holders who still using exchanges wallet. And you are right OP, lack of knowledge is one reason why people had lose their money. Therefore, it is an urge to have a huge understanding and invest time learning about the crypto market.

I would say learning about the keeping your keys safe is a core course in the academic field of bitcoin. In fact it is one of the most important lesson that beginners must be exposed to because skipping it would definitely lead to loss of funds. After they have learnt how to create a self-custody wallet, the next important topic should be how to record the private keys and keep them safe. Nobody should be introduced to bitcoin without a comprehensive lesson on self-custody.   
 
There is no necessary risk involved in using decentralized exchanges, what one needs is just caution and basic security/privacy skills. The only challenge is your ability to keep your keys safe to avoid unauthorized access and loss. You cannot compare the risked involved in using centralized exchanges with that of decentralized platforms. Using centralized platforms can lead to loss of funds, stealing of identity, hacking, loss of privacy and even government control of ones finance. 

your actually learning. fair play. finally
sending you merit with my standard 'i dont give a crap about merit' policy
amount. simply because you showed willingness to learn and have an unbiased thought about a thing you have been previously over promoting

also to add
if doing multiple trades with such strangers, even if their actions are not ominous. just the pure volume of value or volume of trades can trigger you or them to be doing a business of money transmission. which can end up having your personal accounts froze if you are not set up to be a money transmitter business with a business bank account. but acting like one on your personal bank account

dex/de-fi does not solve the problems that the decentralised 'local bitcoins' services had several years ago in regards to multiple "stranger" wire transfers.. where the end result is users got too popular/greedy, done just that too many trades* above a threshold where they had to set up as a licenced exchange service(asking for KYC) or stop doing swaps

dex/de-fi still will run into those same problems . although most users are in their first few weeks./months use of their bank account under dex/de-fi activities, to not YET meet those thresholds YET

*subtly hinting the work-around(dont trade too often EG day trading multiple wires a day) - (though less subtle by needing the asterisk hint)

The biggest problem this field faces is the absence of real alternatives from decentralized platforms that it can use in a way that enables it to completely abandon centralized systems. A culture of privacy and ways to preserve it must be spread.

Decentralized exchanges are more connected to altcoins, not Bitcoin. They work with smart contracts on other blockchains, not on Bitcoin blockchain. This topic belongs to Altcoin Discussion or Trading Discussion, not Bitcoin Discussion.

When you use decentralized exchanges, you are favorite to trade than invest. Trading is not good even you do it on centralized exchanges with lower trading fess. On decentralized exchanges, trading fees are higher because each trade will be charged fees for on chain transactions, slippage from developer teams.

Not all decentralized exchanges, dApps are safe to connect your wallets to. Safest, don't use only one wallet that you store all your altcoins in it for trading on decentralized exchanges. If your wallet is exploited, you'll lose all your altcoins.

Use a Smart Contract Allowance Checker https://app.unrekt.net/ to Smart Contract Allowance Checker to revoke all the addresses that can spend your tokens