Because I have also heard that each address should not be used more than once.
This is mostly due to privacy reasons with your own wallets(though it can also apply on the deposit side). As for exchanges, I'm not sure what exchange you're using, but if I remember correctly all the exchanges I personally use don't change deposit addresses. They only change when I request a change.
And somtimes they don't bother to change it with excuse such as such as security concern or they don't have such feature where they need to do it manually. At least unless you mention plausible reason (e.g. ask change address from legacy address to native segwit address to lower fees).