the blockchain wallet, or any standalone wallet app, is like holding your money in a cash box only you have the key to.
If you leave money in an exchange owned wallet, Coinbase, Gemini, Kraken, Bittrex, Bifinance, Independentreserve, etc etc then you do not have complete control.
Not that I think it is likely, but say a state of emergency was declared where US govt said no financial institutions can transfer money, then Coinbase would be forced to lock your money down.
No one, not even POTUS can do anything to touch or stop movement of your money if held in your own wallet.