The exchange consolidates it in that way which makes it cheaper for them to pay miners directly, but not for the customers who must each pay a withdrawal fee to the exchange, and for some exchanges like Binance, withdrawal fees for BTC isn't cheap.
Because you can buy BTC on exchanges with your banks credit or debit card doesn't mean more security, you can still lose your funds on the exchange if you hold it there or if they decide to confiscate it. And trust is not really a con when discussing BTC, it is meant to be trustless.