Does this kind of transactions ever get processed?
Where does the transaction ends?
Does the chain used in transactions notifies or invalidates an address?
In that case, the exchange should return the assets because they provide many options for sending crypto and if a sender is less experienced and mistakenly sends to a different chain, then the exchange should take responsibility for it. I think if the receiver wallet is not associated with that chain then your crypto assets may be returned or they will be lost forever.