They can make illegal whatever they want, but they will never have your private keys unlesss you give it to them.
Bitcoin is decentralized, do not confuse with Central Bank Digital Currency (CBDC), those are controlled by them.
For the security, you can store your bitcoin in a piece of paper (containing your private key) and that's it. no exchang. no goverment, only you and your key.
You can use hardware wallets, software wallets, etc. You can save your private keys encrypted with a password, you can do many things instead of just the exchange.
Also you can trade it for goods or services, no need to covert it to fiat money, it's more practical than precious metals in this case too..