Questions about DCA and UTXO

Hello guys, Just continuing learning about BTC while DCAing. My today's lesson is about UTXO. For now, I DCA less than 1€ per hour, so it's between 300 to 500€ per months, on an exchange. I'm waiting to have a good amount before sending to my cold wallet. But, is it smart to DCA this way ? How exchange calculate UTXO since I don't own them yet ? Will I stack UTXO only when I'll send the BTC I have bought on my exchange to my wallet (so 1 UTXO per transaction from the exchange to my wallet) ? Or is every transaction I do on the exchange stacking UTXO ?

Cause depending on the answers, I might have stacked a loooot of UTXO already ????

Thanks !