I highly doubt CEXs do those unnecessary conversions, when the order book already has the data they need to execute teades.  Simply a bunch of offers and a bunch of takers, with different sizes and different price points, neither side having any interest in USD here, constantly matching their order lots between eg BTC & XMR or whatever..

Even shitty engineers would need to put in legitimate effort to be that wastefu & it presents a big risk of slippage if the conversions aren't 100% realtime.  (It's certainly not impossible)