Because in some countries they are very tightly regulated to prevent money laundering. In my country, The Netherlands, you even get randomly flagged and need to provide insights into your transactions if you send money to your private wallet. Also most suspicious wallets are auto flagged and you will get banned from the platform or in severe cases you will get a visit from mister police officer. If you get banned, you are put on a list that prohibits other bitcoin exchanges to do business with you. Also, you need to do a full identity check including uploading your passport when you open an account on any exchange.