The 1 caveat to that would be using a WIDELY TRUSTED on-line exchange that you have an account with. While 'still not your keys' it is the only on-line kind of site I would ever use.

The major issue with using any online site like you posted is that you have zero assurance that someone who works at the site may keep a copy of the private keys that users create. A couple years ago an on-line Vanity Address generator site did exactly that to users that it accumulated for several years.. One day folks work up to find any BTC sitting at the address was gone.