If you are one of the ones who really want to be able to mine to an exchange - dude.... just get a mymonero.com account, mine to it and take that extra 2 minutes a day to send from it to poloniex or wherever.
tbh i also want to mine to the exchange, is it free to transfer from mymonero.com account to polo ?
There is a fee of between 0.003 and 0.006 and a delay. The fee depends on the level of privacy you select. It works but is annoying.
You have to always consider if you have enough funds INCLUDING the fee or your transaction will fail.
Just did a test transfer, 3.5 xmr with minimum privacy level (mixin 3) and the fee was 0.009 xmr.
edit: to sum up,
3.5 xmr from webwallet to kraken fee 0.009 xmr
3.5 xmr from kraken to local wallet fee 0.05 xmr
3.5 xmr from local wallet to kraken fee 0.004 xmr