My biggest concern is scalability, obviously, but there is other challenges as well. I was just wondering if anybody has been studying the subject before and can share her/his ideas with me?
Yeah compared to centralized exchanges, cross chain swaps would not scale very well, assuming you already have the your money at the exchange.
If you don't normally store your money on an exchange and first would have to send your coins to the exchange, exchange it, and then withdraw your new money from the exchange, an atomic cross-chain swap would probably be more convenient. And of course more secure.