Quick reply! Its really great to see the devs responding and being open to ideas like this from the community.
I actually asked your question a couple of weeks ago too, regarding not having to download the blockchains to use the exchange. Apparently it is doable and will happen further down the line.

To actually use the exchange without downloading blockchains will require integration to SPV clients on as many chains as available.
That's definitely a feature we need, and the sooner the better.