Questions about hot wallets

Hi all,

Might be this should be in r/CryptoCurrency or another sub, but I took my chance here. Having lost about 10K on FTX, I now still hold a bit more then that in a CEX, including a good deal of ETH, but I want to move it over to a wallet for all the normal reasons.

I have of course been looking into cold wallets, and will likely buy one, but I had a question regarding Hot Wallets. If I create or make a wallets on i.e OKX or Phantom (Or maybe Coinbase even) how much safer is that than having them on the CEX itself?

I am not sure I quite understand how a wallet on Coinbase would protect me if Coinbase went bankrupt, or it this is perhaps different with Metamask. Whats the benefit of a hot wallet versus exchange? This might be obvious to most, but I started pondering it and thinking if that might be an ok solution for now, but I don't understand how it protects me more than the exchange itself from, another potential, FTX situation.

For clarity - My crypto on FTX was not in any kind of FTX wallet (if they indeed provided that)

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