Assuming you are referring to BTCPayServer's Tweet (replying to JesPow)?

JesPow was saying, "please" don't use exchange services as your wallet. They are exchanges, not wallets. And customers using them as a wallet add burdens, including having to turn over your data if forced to (and/or requested, depending on which exchange) by the government. This inconveniences them and could be harmful to you (not just you as a customer whose balance could get frozen but as someone who has KYCd with the exchange and now that identity would get shared with law enforcement or whomever).

BTCPay server was saying, "please" don't use a custodial wallet, such as what you get with an exchange service when paying a merchant. When you do that, you have no control over the payment (because it wasn't you that constructed and broadcast the transaction). Thus, you have no ability to ensure the payment is sent in a timely manner (exchanges do periodic "batching"), nor can you do things like replace-by-fee fee bumping (if the transaction remains unconfirmed for too long of a period of time) or a child-pays-for-payment (CPFP) transaction (for the same reason, to bump the fee and get the stuck transaction to confirm).

Now with Lightning network, JesPow's concern over privacy / reveal of identity still exists somewhat. But BTCPay' s concern can be lessened. LN transactions are essentially instant, so if your transaction completes, great. If it doesn't, you know within seconds (for the most part). Using LN on something like BlueWallet (which is custodial for their LN wallet), or on a custodial web wallet like CoinOS.io is not the issue that BTCPaySever is giving caution.