Trying to understand extended keys
It is not more secure to use different adress for every bitcoin you receive, it just gonna give you more privacy since it is gonna be harder to track you.

I guess the exchange use different bitcoin account then generate different adress for them just like we could, and keep a track of all that.

I think you are just confuse about the way exchange keep your coins, once you send them your bitcoin, you do not have a bitcoin key to access the adress you send 
your bitcoin to, they just have keep track of it, and if you want to withdraw your bitcoin to your cold wallet, they will use one of their wallet to send it.

And as I said it is safe to use the same adress to receive your bitcoin, but you are right in your example they gonna be 2 transactions.