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.
Yeah you get the concept, add in SSL and some other fancy code and it could work nicely. I need to study more about the blockchain to comprehend ways to enhance this ability.