I think people who aren't necessarily technically savvy mistakenly treat the exchanges as their local bank. Your local bank follows a huge number of regulations, many of which are designed to keep your money safe. And in the rare event that your bank fails, your accounts are FDIC insured up to $50k (in the US, don't know if other countries have depositors insurance.)

I also think that most (though apparently not all) of the people with millions of USD worth of bitcoins acquired them at low cost so in real terms their loss was mostly on paper. The started at $10k, it ballooned to $10m, and now it is zero. Did they lose $10m or $10k?