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There are even some exchanges which "accept" HBD and then keep it. Ugh.

Whats the exchange to avoid?

Binance ,I guess

I understand binance is one (reporting what I've heard, have no personal experience), but any exchange that doesn't support HBD but won't send it back if you ask.

Oh, I thought you meant more like an exchange which showed they accepted HBD but didn't credit you for it haha. Not sending it back is scummy, but if its insanely low value, it probably might cost them more in manhour to send it back then its worth, I know Binance does recover assets that they support for a fee(had someone use that feature), but no clue on assets they don't support.