I believe that its impossible to do so, probably because they have a lot of users and they want to keep logs of everything in a clean way. I have tried Hitbtc and you can generate as many addresses as you want, for Bitcoin Cash or anything else.
Well, by doing so, they are screwing up all the users that want to retain any sort of privacy with their transactions. You can't expect anyone with half a brain to send their entire bitcoin portfolio into a single address that belongs to a damn exchange to boot. You should do due diligence and keep your privacy intact, and it has nothing to do with taxes, you just don't want people to know you own X money. Do you go around telling people you own X fiat? same thing.
I will try the hitBTC exchange, thanks.