Crypto wallets fall into two broad types based on who controls the private keys. In a custodial wallet, a company, such as an exchange, holds the keys on your behalf. In a non-custodial wallet, you hold the keys yourself, usually through a recovery phrase that only you know.
Custodial wallets are convenient. If you forget a password, support can often help you recover access, and the setup feels familiar to anyone used to online banking. The trade-off is that you are trusting the company to stay secure and solvent, and to let you withdraw when you want.
Non-custodial wallets give you complete control and no reliance on a third party, which many see as the point of crypto. The responsibility, though, is entirely yours: if you lose your recovery phrase, no one can restore access. Choosing between them comes down to how much control and responsibility you want.