You're very correct,even though swgwit has made things a bit cheaper for us, not every exchange is incorporating such reduction in their transaction fees...
To be fair to them, switching to Segwit isn't as simple for them as it is for us. We just need to move our funds to a wallet that supports it and we're good. They have to change their entire system (and they'll be spending lot of money on this) without breaking anything. There's also an issue with compatibility, as people with old wallets won't be able to move their funds to a Segwit address. It sucks, but I kind of see why they're putting it off. Segwit is designed to be opt-in anyway, so they have the freedom to choose whether to adapt.
But yeah, services like exchanges won't necessarily drop transaction fees if/when they switch to Segwit anyway, so if nothing else, it will be for the well being of the network.