Why do people say ‘Not your keys, not your coins” but a ton use brokerages?

I'm really new to this so when I research I kept on seeing this "Not your keys, not your coins", if that's true then why do people use brokerages. Some have stated it's because things are easier when you use a brokerage but isn't the point of crypto is the fact that you're anonymous or at the very least it's away from the government then why do people use brokerages, is there something I'm not seeing here?

Some say it's because they could liquidate faster, I tried to find any differences between those without and those who use a brokerage. Granted I'm new so I don't know what I should be searching but I can't find any. I was wondering if you guys could give me some advice?

Edit: I wanna get into crypto and hold it maybe for like 50 years or so, give it to my child or something. I think the concept is pretty neat but I just don't know where to start.