Why exactly shouldn't you do it? Possible problems with escrow if needed?
Because you can't prove that you are the owner of the sending address. You don't hold the private key, can't sign messages with it etc. In short, don't do it. Ever.
That's true, but isn't the higher risk here that the exchange is disappearing with your coins? If the coins are successfully at their destination, does it matter what the sender address was?
Or am i missing something vital here?