I've been using a hardware wallet for a long time and, frankly, it was the best solution for me. It may not be for everyone, but personally, I sleep better knowing that my key is not "hanging" somewhere in the network where it can be hacked. If you are interested in more details, here is an article that talks about protection in the world of cryptocurrencies, which may help you understand - https://theceoviews.com/security-in-crypto-banking/ . When I bought the wallet, I still had my doubts, but now I would definitely not go back to storing it on an exchange.

Hardware wallets certainly sound more secure than custody on an exchange, but it all depends on how much assets you have and how important security is to you. Some people only use online wallets, and that's enough for them. Everyone has their own approach to security, and it's important to just find what works for you.