Yeah, but it is not about liquidity even if he wants to make it appear like it.
The exchanges can buy all liquid steem on other exchanges if they have to fulfill customer withdrawals.
I think their only concern is that 32 Million steem might be somehow lost forever (by hacking or malicous actions by anyone (like some of the witnesses who have shown to be really butthurt)). If the steem is somehow lost, they can never get back customers' funds, because there is not enough liquid steem left. This might imply horrendous legal consequences as the powerup was illegal and losing customer funds in a voluntary and illegal action is probably their worst nightmare. Getting sued into bankruptcy is likely the biggest concern.