To be on the safer side and not lose your bitcoin, because of regulatory compliances, from a centralized exchange wallet, it is better you first receive any bitcoin payment into your wallet, that you control with your private key/wallet seed phrase saved and can restore the wallet anytime.
Its possible that we all take careful measures ensuring that we are receiving transaction directly into our own personal wallet which we have control over, but come to think of it, could it be that we have the same experience like this all the time, sometimes we may receive payment from exchanges, bounties, and even from making trades on exchanges, except we choose to use a decentralized exchange.