The way Kano does it, the rewards are generated to an address he owns then sent as a regular transaction (with zero fees) in the first block after 100 confirms. So these rewards are fine to send directly to an exchange (and I have done it as well)...
Correct, as long as you're willing to accept that you've given away your bitcoin without ever having owned it (he who controls the keys owns the coin).
I mean, as long as you use a reputable exchange and consolidate every 20-50 blocks or whatever so they amount doesn't grow too large it shouldn't be an issue. Then from there you can send it to an address you control directly.