First, yes, not your keys not your crypto.

I'd love to know how others feel about these kinds of platforms and whether the the reward (which seems to be 4-8% APY depending where you look) justify the risk of not only holding your coins on an exchange but allowing that exchange to lend those coins out.

I currently have most of my BTC on these platforms (it was in cold storage for a long while before I chose to take on the risk to passively grow my holdings). However, philosophically I feel that the entire point of BTC is that you can and perhaps should hold it yourself.