Imo, that comes down to 2 things:
1) Exchanges don't want you to do it because they don't want to field a bajilion support tickets about "Why can't I use my BTC" when it hasn't hit 100 confirms yet, so it's easier for them to just say, "don't do it".
2) It's bad practice, because when you mine direct to an exchange, unless they give you access to the private keys for your accounts, you're giving them what should be your bitcoin.