There is a very, very long history of that being a bad idea. There are some situations (commodity exchanges) it’s necessary, but they are heavily regulated and audited for that reason. They also have non trivial storage costs.
Gold depositories have the same issues as crypto exchanges have typically had - it’s almost inevitable that someone absconds with the actual gold without telling anyone, or ‘prints’ extra without backing assets, etc. and until someone does an audit or everyone tries to withdraw their gold/tokens/whatever, no one knows.
