I have no problem with this, but the exchange has it's own operationg costs, and every transaction requires processing power, db space, bandwidth...
It sounds reasonable to set a minimum fee amount. But as I said, it is not my problem.
There already is a 0.01 minimum, with the exception of leftovers from a partial fill, which can be as small as 1 satoshi. They make enough money to beef up their infrastructure enough to handle a few thousand socket users.