In my opinion, I believe that enabling withdrawal whitelisting, where possible, is a smart move when using centralized platforms. By setting up this feature, you gain the ability to specify a list of wallet addresses that are authorized for fund withdrawals.
You mean that it would be set up by the user? That would only secure your money in case someone hacks your account. When the exchange itself gets hacked, or exchange exit scames your money in your cex wallet will not be so safu. But in general i agree that it's wise to implement most of the security measures that CEX is offering.