Crypto-exchanges offer crypto-wallets for all of the coins traded on the specific exchange.
If the question is about using the wallet by a commercial wallet provider - it is supposed to be more secure and give the user control over their coins outside of an exchange.
However to be able to trade, the the user has to keep transferring coins back and forth between exchange wallet and commercial wallet.
Withdrawal of coins from the exchange wallet comes with a fee and the user has to pay network fee for the transfers.
For more on the types of crypto-wallets please check this article -
What do I need to know before creating a blockchain wallet