Before you can get out of a trade, it's either you complete the trade or cancel it, so just don't assume they will allow you into another trade when the one you've started is still pending or inconclusive
Exchanges must do it because they must account user trading activities, orders accurately. If they have bad accounting, their business will be exploited and they will pay very high cost for bad accounting.
US seizes $1.4 billion in Bitcoin from Silk Road Market Scammer (James Zhong)In 2012, when Zhong was just 22 years old, he executed a scheme to defraud Silk Road, a notorious dark web marketplace infamous for the distribution of illegal drugs and money laundering.
By creating a string of accounts and triggering over 140 transactions in rapid succession, he tricked Silk Road’s withdrawal-processing system into releasing approximately 50,000 Bitcoin which he then transferred into a variety of separate addresses under his control.