Small exchanges do not have access to quasi-liquidity tools so they are at a risk to a certain degree if they are subscribing to irresponsible practices such as having only fraction of deposits and manipulating rest of the money. On the other hand, likes of Bitf***x can print their own money out of thin air thus creating illusion of liquidity when needed.

Overall concern is that we don't have enough transparency on inside practices of exchanges, and it is reasonable to suspect a degree of inside trading, bot manipulation, internal arbitrage, etc. Additional concern is diverse regulatory framework depending on the jurisdiction.