SBF laid out in detail how crypto exchanges actually make money back in an April interview:
https://www.bloomberg.com/news/articles/2022-04-25/sam-bankm...
>https://www.bloomberg.com/news/articles/2022-04-25/sam-bankm...
"exchange" is mentioned exactly zero times in the article. However, I'll let that slide as presumably you meant to imply that exchanges make money through yield farming, which also doesn't make sense because yield farming doesn't involve the participation of exchanges at all. As mentioned in the article, the concept is that a smart contract accepts deposits and hands out tokens, which constitute the yield. No part of that requires exchanges.
> The (FTX) crypto exchange's revenue soared more than 1,000% from $89 million to $1.02 billion in 2021.
To answer GPs question, legit exchanges do spend a lot of money and effort on keeping user's assets secure so it's maybe not as easy as it seems. But in the case of FTX, I totally agree. FTX was like 2nd or 3rd highest volume exchange and could have been a highly profitable business on it's own. Only SBF knows the answer to why that wasn't enough.