Say you want to transfer some coins from one exchange to another, and you want to do that directly without sending them to an indermediate address. Bittrex' Terms and Conditions, for example, state
You may be required to verify that you control the External Virtual Currency Address that you use to load Virtual Currency to your Hosted Wallet.
I presume you are not able to verify that, if the external address is under the control of an exchange. But under what circumstances would it be even necessary to verify your withdrawal address? And what other risks are there, if you send them directly from the withdrawal address of exchange A to the deposit address of exchange B without going through another address which is only under your personal control?