Why is this PEP20 preferred wallet address to others?
1. You need to BEP20 Address
2. See the list network available for the withdraw, If they only provided BEP20. Then you can only withdraw BEP20.
Keep in mind, some coin have different available network on each exchange. Could be in Binance only have BEP20 but on other exchange have multiple network, however you need to following on the exchange you're using.
Most the time, a token/coin who have multiple network have a bridge (You can move a token from one network to other network) by bridge them.