Actually there's no risk with the casinos who will have an exchanger. The risk only comes if they're the one who's going to have their own exchange inside their casino but many of the casinos that has their own exchange insides are just integration of a 3rd party service.
They just have to connect their customers with an exchanger which is the 3rd party and it will do the job for those customers that want to exchange their deposits.
I've seen a few casino and dice sites which have their in-built exchangers where you can directly exchange your coins to all types of coins that are available for withdrawal on those sites. But the catch, the fees were high compared to what you'd generally pay on an exchanger outside if you go there directly (this also applies to third party exchangers involved in the casino/dice sites because these sites also add up their commission plus the exchanger's fee).
Yeah, those casinos that have exchanger and asks for a huge fee per trade is likely a commissioner from an outside service. They're just going through and referring it to the service provider. That's lucky are those that have known an exchange with a low fee because it's part of their casino and they don't source out the exchange with an outside service.