it will be nice if exchange will pay us the stake on our coins if we have them there instead of the wallets.
This could be done, but it would require a good deal of book keeping.
Additionally to gain interest those coins would need to sit on the network hot, and use up CPU power, taking away from deposits/withdraws. There is risk to an exchange doing this, as such I would guess the majority of the coins are in cold storage, and those that are hot, are set with -reserveblance=999999999