Well, I have some amount in some exchanges, like I have some amount in some casinos... we either trust the service or we don't. If if trust it we will always have some amount of coins that we keep in those services. Of course, we risk with that, but moving funds after every trade, after every gambling session, can be expensive. Of course, that should never be an "all-in" amount, it's the part we feel comfortable leaving there sitting and waiting for the next trade/gambling session. If you are not comfortable with that, you shouldn't use that service in the first place.
Anyway, I don't fully understand such a situation.. Like when I need an exchange, I put the exact sum to the exchange, do the operation and withdraw it back to my wallet or wherever I need it. Why should I leave something on the exchange?