The only advantage I see is that Dwolla and Paxum can accept ACH. Why can't an exchange set this up directly?
Fraud. ACH transactions can be reversed weeks later with a claim that the owner of the account didn't authorize the transaction. The middle man confirms that the transaction is authorized by the account holder, handles the ACH disputes, and eats the cost if it turns out the transfer was fraudulent.
You are correct.
If I am not mistaken, ACH transactions can be reversed 30 days after the fact. And, in certain circumstance, I believe their is even a larger window for which the ACH can be (at least in part) reversed.