You don't have to store your bitcoin in any exchange site because you don't have full control of your coin, after purchasing from exchange that is more friendly to your country moved them out, and before that make sure to pass kyc to avoid drama while your coin is inside the exchange. But if you cares about privacy I will advise to buy from p2p where you have to pay with other altcoin then you will receive BTC to your electrum wallet.
It is good advice not to store assets on exchanges as one will not have full control over them, but one should be able to store assets in non-custodial wallets and keep private keys well.
Also, some exchanges have implemented KYC at the beginning but some exchanges don't, it depends on the situation but for Binance you have to pass KYC if you want to deposit any amount of bitcoin or crypto.
Maybe you mean P2P on the forum? by paying with altcoins and then receiving bitcoins? I don't think that would be worth the cost of bitcoin right now.