The problem with taking your money off the exchange and trading on the Dex, is the possibility of losing money due to the complicated nature of placing trades. This is especially relevant for shorting.
Right now the odds of losing all your money on a centralized exchange due to hacking is far lower than losing a big chunk on the Dex due to complexity, user errors, and bugs. Also there is no chance of fund recovery on the Dex if a bug causes you to lose money.
The longer that polo and all the other CExs stay secured, the better their practices will get and the less useful our Dex becomes.
I've day traded for 10 years and I would never trade on our Dex in its current form. It doesn't have the most basic tools that traders need.