I also agree with your statement of "DO NOT USE EXCHANGE ADDRESSES UNDER ANY CIRCUMSTANCES". A lot of people have lost money by transferring to an exchange wallet only to find out it was never possible to send them there. Its mostly ERC20 tokens that are rewarded in bounty campaigns so myetherwallet has always been my favorite choice of wallet that I recommend.
For whatever bounty participating for, its mentioned at the section of filling wallet address not to use address generated from any exchange, it's just awkward some are still making such lame mistake.