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This would be fine but I want the majority of my coins to stay on chain.
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Why would buying at an exchange that supports LN and moving to a wallet not be considered on chain?
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Because Lightning is off chain (not settled on chain until the channel closes). I think they want to move the funds to a cold wallet
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DCA from an exchange that support LN, and you can withdraw at any time for no or miniscule fees.
Exchanges with support for Lightning Network
#8122
https://github.com/cointastical/Exchanges-With-LN/blob/main/README.md
Dollar Cost Averaging. The answer to the question “Is now a good time to buy Bitcoin?”
https://cointastical.medium.com/dollar-cost-averaging-the-answer-to-the-question-is-now-a-good-time-to-buy-bitcoin-a84e518f50f0