I really don't like the idea of mining to a wallet that could crash potentially bad idea. Maybe there should be an added change in code to support exchange deposits would be nice. Thanks dude the fast replies.
As jonnybravo mentioned, the exchanges are the ones who don't process deposits properly when they are in the coinbase of the block (the newly minted reward coins). Nothing p2pool can do about that.
You could mine to an online wallet at a variety of places if you don't want to run a wallet locally. On my PC I use Electrum. Doesn't require downloading the blockchain, syncs very quickly, and gives you a seed you can print out and store in case you ever need to recreate your wallet from scratch.