You are exactly right which is why this proposal explains that SteemJ would not touch any of the money including no escrow. SteemJ then is only a communications tool that makes peer to peer transactions easier without charging any fees. Users set prices and user deal directly with each other while relying on SteemJ to help design which user to trust. Think of it more like a dating app than an exchange where the entire purpose of the app is to connect one person with another. The dating app is not participating in the relationships or responsible for the results of using it.

What I might have done better with is to call it a messaging app instead of an exchange. Thank you very much for making a reply so quickly here and helping us understand what we need to do to get this live!