First, the distinction nobody explains properly
An exchange account is a bank account with extra steps. The company holds the private keys, your balance is a row in their database, and there is a password reset link because they can rewrite that row. That convenience is also the risk: accounts get frozen, platforms fail, and "not your keys, not your coins" stopped being a slogan the moment several large custodians collapsed with customer funds inside.
A non-custodial wallet like Sparrow is a personal safe. The software never holds your bitcoin — it holds a description of which coins belong to your keys, and it knows how to build a transaction that spends them. Signing happens with a key that lives in an encrypted file on your disk or, better, inside a hardware device that never exposes it. There is no reset link because there is nothing to reset. If you lose both your seed words and your wallet file, the coins are gone, and no support ticket changes that.
That trade is the entire reason Sparrow exists, and it explains most of its design choices. It is not trying to be friendly to someone who wants a recovery email. It is trying to be legible to someone who intends to be their own custodian and wants to see exactly what is happening.