are there plans to connect with the BitShares Decentralized Exchange?
And if yes, when?

White paper on the day of the ICO launch? Bit late imho. Publish it before, or move ICO a few days later. The idea is promising though. Big competitor in this market: www.peerplays.com. Always good to know where you up against

Correct, just because an centralized exchange account balance shows an amount of Bitcoin does not mean it is backed by anything.
Using a centralized exchange always includes a counterpart risk and not all of their users understand how big the risks and limits really are.

This is where decentralized exchanges services (DEX) come in. That means the exchange is as decentralized as the underlying blockchain tech itself. On a DEX users are in full control of their own security, which "can" be much better than any centralized entity.

In traditional exchanges you are also limited to a set of pairs. Whereas in a real DEX everyone can create his own assets/tokens/currencys and trade them right away.
Be Your Own Bank & Be Your Own Broker.

At the moment it is just not common to use a DEX.
But time is working towards more decentralized exchange services, because they are more flexible and cannot easily get bankrupt or hacked as centralized ones can.
However the solution is not one or the other, both centralized and decentralized exchanges need to go hand in hand to provide their customers the best and safest experience.