If withdrawing your tokens to an exchange, it must specifically be a PlayChip wallet you are depositing to.
The only time you can deposit PlayChips directly to an Ethereum wallet is when you are able to add PlayChips as a custom ERC20 token, such as on MyEtherWallet or Metamask.
We strongly recommend that you educate yourself on how to securely store custom ERC20 tokens before withdrawing any PlayChips from the PlayXchange. A basic guide is available here.
If you choose not to withdraw your PlayChips they will remain securely stored on the PlayXchange. If you withdraw your tokens to an incorrect address they are unlikely to be retrievable.