I believe this is being followed for the purpose of making everything transparent and not to get into illegal things. If thats the case then these exchanges shouldn't accept funds from gambling sites.
They have their own rules and it's up to them how they implement them, gambling sites are ok accepting depositing, but they will give you issues when you try to withdraw your winnings if they don't want anything to do with a gambling site, you are right that they should not accept withdrawal and deposit from and to a gambling site.