The main idea is actually good and can be viable especially in the light of many hacking that occurred in big cryptocurrency exchanges.
The main idea assumes that exchange can be trusted, which is, in fact, a questionable assumption. I think 2FA is enough for that, though there's a risk that a hacker can gain control of user 2FA, that's fine because the user must have some responsibility to manage their own safety, and there's no need for an exchange to go that far. Instead of this feature, I'd love to see a feature where the exchange would return the funds that was sent by malicious party or those who failed to do KYC, so they didn't get rekt.
