it will be nice if exchange will pay us the stake on our coins if we have them there instead of the wallets.
This could be done, but it would require a good deal of book keeping.
Additionally to gain interest those coins would need to sit on the network hot, and use up CPU power, taking away from deposits/withdraws. There is risk to an exchange doing this, as such I would guess the majority of the coins are in cold storage, and those that are hot, are set with -reserveblance=999999999
I remember the times when NVC users at BTC-E had issues with deposits and withdrawals coins to/from exchange for several days.
As it turned out, the exchange is for real used its wallet for staking, and when too many inputs were originated (and many unconfirmed stakes, nvc uses 520 confirms for newly minted coins), the exchange's wallet started being laggy.
So, eventually, after consultations with Balthazar, they turned off staking on the exchange to avoid such problems.