Lots of things are tradeoffs. In this case, the tradeoff is that trades are more expensive on chain, but you don't have to worry that the exchange will blow up

Lots of things are tradeoffs. In this case, the tradeoff is that trades are more expensive on chain, but you don't have to worry that the exchange will blow up and lose all your money, like happened with a huge exchange just last week. As a bonus, Ethereum's scaling roadmap is coming along pretty well, with a pretty clear path to 100K tx/sec within the next few years. That should make transactions quite a bit cheaper.