This is a good and beautiful suggestion, but it will work if only those exchanges are ready to help in apprehending the scammer. They might start thinking that who do they release those details to. So i would suggest that if there is a central body, such as SEC, that will carry out the investigation after reporting to them.

This is also an issue, there are exchanges that do not appear transaction details whenever you transfer to them, so how will you know if it is an exchange wallet?