in web wallets like xapo, your deposit address or "xapo address" isnt in its separate wallet, and may have others' addresses included as outputs when sending funds. some services use those listed outputs as a return address, so there is no guarantee your funds will be sent back to your address.
This and it's same with coinbase, I have only seen that warning on on-chain gambling sites where if you win, your winnings are sent to the same address you sent the bet from (for ex. Bettingblocks.com) and since you don't control the address you sent from whilst sending from Coinbase or Xapo you'll end up losing your coins but you can use a web wallet ( if you must) like blockchain info where you can use the same address to send and receive coins.
Even if a site is not warning about that it is always advised to use an address that you control when you send coins to any Exchange, Services, Merchants etc. For if some reason there is a dispute or a problem you can sign an address and prove the ownership of the address you sent from. You cannot do that from Coinbase or Xapo.
