Most people will probably need more black swan events with exchanges to start paying more attention to self-custody. General society is more reactive than proactive.

Some also like the convenience of holding Bitcoin on exchanges and getting all these easily accessible extra features to spend, earn, borrow, trade on your BTC instantly. I'm not saying it's justifiable, but I think that's the likely rationale.

We should have more Bitcoin builders focusing on empowering the self-custodial Bitcoin in order to reach feature parity with exchanges (as much as possible) with an equivalent UX. Maybe then people wouldn't choose to sacrifice security over convenience anymore.