It might look silly but they are trying to protect your funds and that's it. Almost all exchanges does it and I don't think I have come across any which doesn't. To be on the safer side I would suggest you go ahead and create an external wallet, send it to the wallet first and then withdraw back to the exchange, it might look stressful but that's the only way out. In addition to that, with few clicks you can easily create a wallet with trust wallet and then use it, the wallet which you can still keep for other future purposes.