Why can't he simply transfer everything to a different operator?
E.g. suppose it was a forum. One could transfer post database and forum software to a different operator, no formal sale is necessary: he is simply sharing information.
It doesn't work like that.
Imagine it's a forum with lots of child-porn posted on it. You CAN'T sell the forum complete with content. But you could sell the forum software.
If something is illegal to own/do and you have some of it then you can't (legally) sell it once you realise it's illegal - even if it's bundled together with other stuff that's perfectly innocent. And that extends to conducting an illegal business. The software on its own could be used to run things that are perfectly legal. Selling it with data relating to specific things are aren't (as his lawyers will have told him) legal crosses the line.
The problem here isn't the exchange itself or the software - it's the investors, issuers and securities. And not only is the issue whether they're legal - it's also that if he sells the exchange on fully functional then he has no closure in terms of getting away from liability in respect of the software, exchange and securities on it.