It’s not very likely at all that an Exchange’s cold wallet(s) would be frozen by authorities, unless the Exchange itself is doing something extremely dodgy.

The case example you place has no chances of happening really. If a particular account does something dodgy, and authorities require the Exchange to seize his funds, they seize them at  the person’s account logical level at the Exchange. Since all assets anyone has on a centralized Exchange are virtual (not your keys, not your crypto), it’s the Exchange’s inner software that states who’s got what, regardless of how the Exchange stores the assets themselves.