probably only micro exchanges will happen with such high fees...I'll rather withdraw to exchange and convert coins there.
The simplistic exchange service main goal I think is to avoid high network fees when withdrawing your winnings and you might be spending more to the preferred method you are talking about. Giving a more lower fees will make YoloDice's exchange be abuse by people who wants to take advantage of their low fees. First of all they are a gambling site and their exchange service is not their main business. It is sort of their way of giving gratitude towards their members. Good job for YOLOdice on future proofing and providing a better service overall on your site.
It's only beneficial to use the site exchange if you want to convert a small portion of earnings we can't expect people depositing to yolodice just to exchange coins as that would be pure dumbness