You need to transfer your ARDR into your NXT wallet (asset). Otherwise, you will lose your ARDR on the exchange.
I think this is a wrong statement, I'm sure ARDR held on exchanges won't be lost at all. People just need to withdraw their NXT to be sure to receive the IGNIS airdrop.
For users who keep their balances on a shared exchange account, it is the exchange account which will receive, on the Ardor blockchain, the above holdings airdrop.
https://www.jelurida.com/snapshot-instructions
So far, no exchange made a statement that they will distribute the received balance to their clients. Better to transfer ARDR to your own wallet.