well i guess that's one of the issue of security coins/tokens, not all exchange accept such tokens to be listed in their exchange without following all necessary rules and procedures,
having their own exchange would be an ease but the time frame it will take and the cost of developing one can also affect the development of main project,
i usually don't like it much as well when a project will claim to have their own exchange, to be frank, i haven't seen any who has succeeded on this part.
It's funny that I also do not remember a single project that could really deploy a full-scale exchange based on the main coin of the project.
In addition, the legal side of STO coins is not entirely clear, because if I am not mistaken, they are equated with securities.