The issue is that they do run fractional reserves, even if they aren't supposed to. Much like banks of the 1600s.
They claim that they don't. If they do, that is a serious problem. Some of the exchanges have, but there is no evidence i'm aware of that points to any of the current major exchanges running a fractional reserve.
The issue is that once there is evidence there is a bank run. Mt Gox wasn't supposed to, but they did. And there are others out there that I hear rumours about having 5 or 10% of their reserves stolen from hot wallets. Sure it's fine if there is never a run, but it's worth pointing out that this is a real threat vector.
The only problem is that there's no way to know for sure whether an exchange is running on a fractional reserve or not.