If you have anything doubts about bitmex you should find another exchanges, I suggest that stay away from the exchange with a zero fees because there's a high risk.
I am using Cobinhood,BitMEX, I don't see any problem with them till now. Actually, all exchanges are not exempted from hackers. The question is, "What security measures do they have?" Security is one thing you should take note in choosing exchanges. I'm sure you already heard the news about exchanges been hacked. Now, if exchanges are free of fee, how would they support the development of security features of the exchanges?