Exchanges normally use hot wallets, meaning the coins/tokens you 'own' are just an entry in a database. Your account ID in the database shows that you own the tokens, and they belong to a larger address owned by the exchange wallet. When you generate a new deposit address on the exchange and use it, then yes, a new address is created.

On another note, there will be a livestream of our Korean meetup tonight in Seoul, we will use Facebook:

 http://www.facebook.com/blockchainkoreameetup

This starts at 7:30pm Seoul time (90 minutes from this posting) but Facebook should record it if anyone wants to watch but can't make it.