Taking a lesson from mtgox - Wouldnt it make sense that we demand private keys for any money we keep in an exchange, that way ensuring that our BTC is "safe" and under our control?
Also if companies like mtgox and coinbase arent even keeping the btc in the payment address accounts how can we know they have what they say they have!
Apparently they dont even promise that our bitcoins will stay in the addys linked to our accounts
Exchanges wouldn't be able to operate effectively if they didn't store customer's funds in the exchange's wallet.
Anyway, nobody is forcing you to keep your bitcoins on an exchange. The way to keep your bitcoins absolutely safe is to store them in your own wallet, and send them to the exchange when you want to sell them.