If you're not the holder of your private key then you're not the holder of those coins.
Owner is a more accurate term for private key. You own and hold the private key, you are owner of it. Private key is private and can not be shared, should not be shared to anyone, so if a person hold a private key, he is the owner of it and according bitcoin with that private key.
The exchange could decide to block your account and if you fail to meet up the KYC requirements you might end up losing your coins. The best way to hold your coins is when you have full control over your private key and coin its safer that way. Considering the risk of losing your coin, why would anyone still go ahead to make such decisions. Coins should be kept in an exchange for the purpose of exchange and then moved to your noncustodial wallet.
Custodial wallets are not safe and good to use, for security of your bitcoin.
Custodial wallets are common with centralized exchanges and centralized online platforms, where are for quick actions like trading and purchasing, paying something. Otherwise, you never should store your bitcoin on any centralized online platform, as you don't own private key hence don't own your bitcoin.