they should charge each deposit a proportional amount of fees for it to be moved and consolidated
I've made a similar post before: I only know of one exchange that charges a deposit fee on "small" amounts, and in my opinion it's the most fair system.
Doing something like this could possibly hurt their revenue, if they do gain any from overcharging their users.
Their interest is obvious: they want to control more coins. By making deposits free and withdrawals expensive, they get more in their cold storage. Even better, if they convince users to accept their own made-up token instead of real coins, they get to keep even more coins.