The risk you are actually choosing between
An exchange balance is a claim against a company. Self-custody is direct ownership with no claim required. That is the entire trade: you are choosing between counterparty risk and personal-process risk.
Counterparty risk is out of your hands and correlated with market stress - platforms fail when everyone wants their coins at once. Process risk is within your control and can be engineered down with multisig, geographic key separation and written recovery steps.
Where exchanges quietly fail estates
Executors of exchange-held Bitcoin generally can get somewhere: a platform process exists. But accounts with two-factor authentication tied to a deceased person's phone, unknown account existence, or offshore entities with no Australian presence routinely stall estates for months.
Self-custody has no process at all unless you build one - which is why the documentation, not the hardware, is the substance of the work.
A practical middle path
Many holders keep a small trading balance on a registered Australian exchange and move the long-term holding into a 2-of-3 multisig with a digital asset directive referenced by their will.
That gives liquidity where it is useful and durability where it matters, without pretending either model is risk-free.