Many people do that, anyway generally this should not be done.
Mainly because the exchange can credit your coins only when they reach a determined amount (for example poloniex shows ETH deposits only where they are more than 1ETH)
If you are mining any scamcoin for a few days it's not a big deal, but if you like that coins you should void keep it on the exchange, indpendently on the credit strategiy
AFAIK, Polo on ETH is the ONLY exchange that does that - and it's easily worked around by just setting your payout threshold to 1 ETH or higher on your pool.
I don't recommend using Polo for anything though, they've had WAY too many issues this year and STILL haven't resolved most of them.