Ahh right, you are comparing the fee they actually charge against the fee they could charge for a "high priority" transaction.

However, if you compare the fee they charge for the time you have to wait, compared to the fee you would pay yourself for the same wait time, then you will almost always be better using your own wallet. Sure, you could pay 2000 sats, be lucky that your transaction is the last one to be included in the batch waiting list, and have it broadcast and included in the next block. But more likely is that you will pay the fee and have to wait several hours for other people to request enough withdrawals for your transaction to be broadcast. Meanwhile, you could have made your own transaction at one tenth of the fee and already have been confirmed.