The major difference between a private (non-custodial) wallet and an address belonging to a platform (custodial) is the ownership of the private keys.
Your deposit address with Bake is an example of an address belonging to a platform (custodial). Also, deposit addresses on most centralized exchanges (for example Binance, Kraken or Coinbase) belong to a platform (custodial). When an address belongs to a platform, the platform/service owns the private keys and holds your assets in custody.
The DeFiChain Wallet, Metamask or TrustWallet are examples of a private (non-custodial) wallet. With a private wallet, the user alone owns the private keys and has full control over the wallet.
Please also check the following articles:
Transfer Requirements (‘Travel Rule’) FAQs
How can I withdraw Bitcoin, Ethereum, DeFiChain and Co?