In my opinion the most important thing features on the exchange is they has high level security, and others one is they should be have high trading volume, provide feature of stop loss, good customer support, they has good reputation, legitimate and fully regulated.
Yes youre right about that but sometimes you cant really tell how secured an exchanger can be until they are tested. There are lots of exchanges and many believe that Coinbase is the safest exchange you will ever come across, but some still say that it is not 100% secured and that there is risk that follows cause it can still get hacked despite having two factor authentication. Sometimes I ask myself if two factor is really a good feature as people claim, seems like hackers now knows a way to bypass such security.