There's still a big problem with many of the centralized exchanges that have sprung up: a bunch of them are exit-scamming, or otherwise have had incidents that make your funds inaccessible.

That's the reason to do this on the blockchain: you don't need to trust that the exchange operators will keep your funds safe, because they don't have your funds.

An even better solution is to transform exchanges into channel hubs, and settle trades instantly without ever touching blockchain. I.e. trade dynamic remains the same, but now each party holds a balance proof and redeemable onchain collateral.