the Bitcoin in your exchange account only becomes REAL and more importantly YOURS when you transfer it out of the exchange and to your own non-custodial wallet. When you are buying and selling Bitcoin at an exchange, you are really just moving numbers around in their private database, it does not involve the Bitcoin blockchain at all. You are right, they may or may not actually have any Bitcoin. That is why it is so important that if you want to make that Bitcoin yours, you transfer it to your own non-custodial wallet, this forces the exchange to actually engage with the Bitcoin blockchain and send you what is rightfully yours. Now you know what it means by that saying I'm sure you have heard here... NYKNYB Not Your Keys Not Your Bitcoin.