Because otherwise small trades would be a nightmare. Personally I like using my excange as a wallet as well.
I guess exchanges could assoceate with an online wallet with one as default, making it just as smooth but more modular.
The kind of 'lending' I was thinking about was relatively larger blocks of BTC. Hundreds to thousands of BTC. And on some sort of set schedule and agreement. For instance, they could hold the BTC for exactly three months and the lender would lose use of them for trading or whatever.
This would be an alternative for someone like me who has a block of BTC that I do not plan to trade (or utilize) for some time and would otherwise just let them sit in cold storage.
From the exchange's perspective, the risk model would be vastly simplified vs. using the liquidity in people's individual trading accounts. A panic or loss of confidence in the exchange or whatever could make that pool quite dynamic and risky I would think.