First of all no exchange will pay from their pocket to make your transaction to be confirmed, and never expect that to happen in the future either.
Never seen any exchanges yet that they shoulder stuck transactions while depositing on their exchange. They only make transactions once you already trade your deposit coins from their exchange and before you can trade the deposit amount it requires 1 to 3 confirmations before you can trade the deposit amount.
They were sweeping coins in large batches, probably during high fees times they had a lot stuck in and needed the funds more than ever, they didn't all me to trade or updated the balance until their own confirmations +2 blocks but still they were grabbing the unconfirmed by the hundreds, probably a bug more than a favor to the clients but it did help me a lot till they fixed it!
One thing I saw was that only bigger transaction were subject to this favor, I got everything over 0.01
BTC confirmed this way but not any of the dust!
Can you tell us what exchange you use where they transfer and do CPFP from your deposit address to their own wallet?
It's not working anymore and that's why the topic but sure, it was BTSE.
Using LN maybe a choice but its not going to be simple pie for everyone and not every wallet support LN channel so if some of them are using wallet that doesn't support LN they need to switch to another wallet that support it and it's a lot of work to do.
I make one sell over LN for about 50 sales onchain and 10 with altcoins, if I would force my customers to do so I would have no customers.
Fortunately this topic might get obsolete as I'm seeing 10sat/vbyte passing by now!