it is not that they "don't like it" it is the problems that is going to cause them and their system!
it is an automated code that you will screw up if you mine to your address there
when newly coins are generated they need to become old enough to become spendable, it is to prevent double spends by miners and orphaned blocks that have invalid reward when they become orphan or if a fork happened.
that means if you mine to an exchange address they have to design a new system to finds these "undependable" deposits and suspends your account until they become "spendable". so it is easier just to prevent you from mining to their address and have you deal with the "waiting time"
so unless an altcoin that you are mining doesn't have what i just described you can't mine directly to the exchange wallet.
