[Ethereum] Is possible to check if a address belongs to an exchange

This is only a partial answer to your question. One issue you would face is that deposits by people who buy your tokens with BTC or any other cryptocurrency besides ETH would have to be credited manually since they would not be able to interact directly with a smart contract. SONM's ICO accepted both ETH and BTC and run into quite a lot of challenges with the BTC part of the equation. See this article:

When everything got underway, the SONM ICO tokens were selling like hot cakes. Ethereum users automatically receive their tokens, which is always good to see. Investors relying on other cryptocurrencies – mainly Bitcoin – have run into some issues, though. It appears something went wrong with crediting tokens to the investors properly. The SONM team is currently resolving this matter, although it is likely a lot of people may see their money refunded and no tokens issues to them.

This is one of the major problems when dealing with a cryptocurrency ICO and accepting multiple currencies. The SNM token is an ERC20 token issued through a smart contract on the Ethereum blockchain. Deposits in other cryptocurrencies have no viable way to interface with this contract directly. As a result, a lot of deposits had to be credited manually and tokens were sent out accordingly. It appears most Bitcoin investors have had their tokens issued to them, though, which is positive.

According to a SONM team member, this issue arose due to an error with the token amount return function. This issue also affected the display of the number of tokens sold on the ICO website, which did not update automatically in the process.

In this other StackExchange post about how to set up a multicurrency ICO, someone recommended using BTC Relay which creates a bridge between the BTC blockchain and smart contracts.

It's completely possible. If the exchange creates a separate contract for ERC-20s for each user, they can know when that user deposits an ERC-20. They'd likely then send all the tokens to a central wallet, and keep most of it in cold storage of course.

The sad thing about the ERC-20 standard is that there's no way to trigger code on deposit of an ERC-20, e.g. yes I can send ERC-20 to the contract that the exchange created for me, but that contract can't automatically forward the tokens to another contract in the same transaction. Of course the exchange can just detect when it receives tokens and create another transaction to move the tokens. This is the main purpose of the ERC-223 standard that is in the works, allowing a tokenFallback function to execute if the receiving function is a contract and implements tokenFallback.