I heard one local exchange like this from our exchange, like if your outgoing transaction is worth more than $900 USD, they are asking for some information and putting the transfer on hold, like some information about who the receiver is, etc. I haven't tried this yet, but more likely the same with your case.

I think using an intermediary wallet that you own is a good idea as long as they have already sent it, and they are already safe, but your account could be in danger if they still care on the funds after you transfer it out from the intermediary wallet.