I agree that this is a good idea, generally speaking, but it adds an additional step in case you have to eventually justify the origin of the funds. It also adds a little extra risk in case you created your own wallet in a compromised computer.
I cannot see how receiving funds to your address adds an "extra step" in justifying origin of funds. The way I see it, it is easier to track funds sent through your personal wallet and keep logs of transactions than it is with an exchange.
If you are using a compromised computer, it does not matter what approach you take, you are already at high risk. Having your non custodian wallet which has its own keyboard can actually help keep your funds safer.
- Jay -