Counterparty Risk of Staking (PoS) on a Centralized Exchange

Most big centralized exchanges provide staking rewards for locking up proof of stake coins on their platforms. Theoretically, they are pooling all of the staked user coins together and validating transactions in exchange for staking rewards. Then they take a small commission and distribute the rewards proportionally among the users who stake coins on the platform.

I'm a big believer in "not your keys not your coins." However, in some cases staking on an exchange brings advantages such as shorter lockup periods, lower minimum balance requirements and ease of use. Yields are oftentimes competitive with manual staking as well.

Counterparty risk exists whenever you hand over your coins to someone else. It's not 100% transparent how they're using your funds and your coins could be lost if an exchange becomes insolvent. At the same time, staking via a 3rd party seems like it is fundamentally different from the lending protocols that became insolvent earlier this year (i.e., Celsius).

My big question: how do you measure the risk of staking on the major exchanges? Do you believe there could be a scenario where one of the major exchanges would fail to redeem users' staked assets if the crypto market had another big leg down?