What is the difference between an "Exchange" (e.g. Coinbase, Changelly, Kraken, Gemini, Poloniex, Bittrex) and Endpass Wallet?"

Your ETH & tokens are on the blockchain, regardless of what service you use to access them. When you move them, you are sending them from one address on the blockchain to another. Your wallet file, the user interface you interact with, the private key—these do not have funds in them. The private key gives you the ability to prove ownership over coins that are on the blockchain.

If you use a client-side tool like Endpass, then you have the private key & you control your funds and your key. You do not rely on Exchange in sending your funds from their account to yours.

One advantage of using Endpass is that you control your keys  and set your own privacy. If an An exchange you have used gets hacked, you will not be affected, and your tokens/coins and privacy will remain secure.  

If you use an Exchange  then you have any account with that company, and they hold your ETH and your keys for you.  

If you choose to move from an exchange to a wallet where you control your keys, you need to make sure that you have multiple backups, stored in separate locations, of your private key + password. This will prevent loss in case your computer crashes or your house burns down or anything else.

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