Just like the first comment already made everything clear to you @OP, yes exchanges actually do care about where your coins is coming from when it's deposited to their exchange. If your coins comes from a platform that they blacklisted such as mixer or casino, the exchange will definitely send you a notification asking to know the source of your assets or they will restrict your account and ask you answer their question concerning that deposit.

It happened to me once, the coin was withdrawn directly from mixer to my exchange wallet and they asked me to explain who sent the coins.