How much money is freedom worth for you? You could take that amount off the exchange and risk not being able to spend it. However include the other risk in that calculation: having bitcoin IOU:s instead of bitcoin (i.e. having it on the exchange) poses a risk of neither getting bitcoin nor fiat from it, if the exchange rug pulls/gets hacked/is ordered by the government.

Main point: you don't have to keep everything in the same place, you can divide it according to your own perception of type and severity of risk.