There is a lot of services that are operating this way and I know a couple of cryptocurrency wallets that offer a built-in or tierce exchanges services. There should not be a problem with that because it isn't intended to switch thousands of assets like real exchanges do.
You have a point. However, this is a little different.
All wallets that do that like Coinomi, Aqua, etc use third party services to make exchanges. At least all wallets I have ever used.
For example, Aqua uses sideshift, Coinomi uses DEX like Jupiter (they used changelly in the past, I don`t know if they still use it).
Betfury is doing the swaps by its own... a little different