I dont think it would be very beneficial to crypt price to build the exchange into the wallet as you say. Widespread trading across exchanges it important forthe overall acceptance. Im a noob but that is my two cents on that bit.
I don't think that is what he was saying. He was using how an exchange can transfer coins "off the blockchain" as a way to describe how he thought the anon feature might work. Cryptowest just stated that the code has not been implemented yet (because I assume it is still being coded and tested). Interesting idea regarding off blockchain transfers. Similar in some ways to how some of the dice sites function.