Have them walk you through sending your bitcoin from your account with them to your own wallet, so that you are self-custodying your bitcoin = Holding your own keys.

Note: This does NOT erase the fact you bought bitcoin from them.

Transactions are traceable on-chain, and in many countries you are liable for taxation when spending your bitcoin.

If you want to buy through Venmo or Paypal, be sure to first confirm that you can still withdraw your sats to your own self-hosted wallet. In the past you could not do so.

As they say:

"No keys, No cheese" or
"Not your keys, Not your bitcoin"

What this means is, so long as a centralized service is holding the private keys to your bitcoin, there remains the possibility that their platform gets hacked, or that they undergo regulatory capture and you lose your bitcoin.

Always withdraw your bitcoin to your own self-hosted wallet as soon as you have bought it.