I do have a question about "first have to either import or sweep the private key in a non-custodial wallet like Electrum. Then you can send the coins to the Crypto Exchange using current network fees"
Where do you get this message?
If you're importing a private key which you've already generated, you're basically interesting it into the wallet software. Note that wallets do not hold bitcoins, they are basically on the public address, the wallet slows you spend them, after you generate an address or imortione into it's software
Sweeping an address means to move all the balance on an address you own to another address automatically