Well, from this image, I will prefer to use a non-exchange wallet at first and then if going to sell the coin, it can be sent from the wallet itself.
I know that it will spend more money or fee on the transaction. But at least, it will be safer enough. Moreover, many exchanges will also probably delay or deny our deposit if it is considered from strange platforms or gambling site (moreover if the funds are quite big). there will be several steps that we should follow to recover or to return our funds.
But, if there are some reputable exchanges that don't mind about this, maybe this can be a way if we are directly going to sell the coin.