Incognito works via Smart Contracts. These contracts and routing can take longer than a normal cryptocurrency TX. Therefore, we let the end user know that if it is time-sensitive (ie. your deposit address has an expiration timer) then it is best to not use that option and instead unshield to a personal (read non-expiry) wallet and then move that to your exchange.
In the event cryptocurrency is refunded back to the sending wallet, you could lose these funds as the smart contract will not know where to send them to.