Exchanges can't do that, because they (as stated) don't buy the coins themselves (unless, of course, they use their own system to buy the coins--but they still have to pay people for the coins they've purchased, which leaves them in the same position as any normal user using the exchange).

The exchange can't "hold on to them", because if people couldn't withdraw their coins when they wanted to, no one would use that exchange.

And they can't "charge more for them"--when you place an order to sell your coins you can see it in the order books. If it showed up more expensive than what you requested, again people would notice and no one would use that exchange. The only thing the exchange can do is increase their fee for using their system (which I don't think would have any effect on the price of the coins, it would just make people unhappy).

Just a small question--have you used an exchange yourself?