The problem with all betting exchanges is low liquidity. It's probably not a problem to place a $5 bet there (and only on popular markets), but larger amounts will be problematic. But as an additional option for diversification/hedging they are of course good, at the moment I prefer convenience, but when I have time I might get to know them in practice.
This is incorrect. As @stompix himself mentioned, the liquidity depends on the particular sport itself. I tend to find liquidities of around thousands and more regularly in cricket, football, tennis etc markets.
On the other hand, some markets such as horse racing etc have extremely low liquidities making them useless to bet on.