Why the source should not accept it? They don't know what wallet address you are using lol.i always send directly from the exchange and all the sources(like 3) have accepted it so far,why should i take the extra step to crate a wallet?I dont plan to hold any bitcoin i use it instantly ,isnt that just adding more time?
Because you have no plausible deniability if you send from the exchange to the source. Let's say the source get busted and they analyse their bitcoin transaction they can easily find your exchange address and the exchange as all the information they need about you. Name surname address proof of identity etc.
Same if they bust you on the other side they can definetly connect your bitcoin spendage to a shady address with probably a lot of transaction. It's always better to move to a personal wallet, better would be tumbling. Best is using monero.