Is it safe to transfer coins directly between exchanges?
I have used BITTREX, and I have transferred between exchanges (HitBTC, BITTREX, Binance). I am not aware of any risk, as this happens as a standard transaction between two wallets belonging to exchanges. I have even noticed, that the addresses change (maybe they use HD wallets). My use case was simple, that one exchange did not provide the altcoin I was looking for. So I was able to transfer amounts between exchanges, providing the target address. I did that with bitcoins, ethers and bcash. I haven't been asked by any of the exchanges, and can't remember having seen s.th. like this from BitTRex. 

I cannot say, under which circumstances this would be necessary, that is a question which might need to go to BitTRex. But I think it is a layer of protection for the users. Two many people sent their coins to wrong addresses, and then spammed the support teams with requests about their lost coins.