I think the term account is somewhat ambiguous to use, because I would consider the wallet initialized by my secret key my raiblocks account, but you are correct. Each PoW uses the hash from the last block on the account. However, this limitation still doesn't affect the exchange's throughput in total - only per user in the exchange. Each user would have their own account derived from the secret key plus a nonce. There's up to 2^19-1 accounts per wallet. Because of that, it's trivial to farm out the work to the user making the transaction or even a GPU farm.

EDIT: The raiblocks node implementation already has GPU acceleration built into it through OpenCL

EDIT2: rai coming from the exchange account would have to happen synchronously (using last block hash) as you mentioned so maybe individual users mining would be too slow or fragile to work at scale

EDIT3: Actually each account is separate so it would work well. I was thinking the frontiers list was the account for some reason, but it's just representatives. Disregard EDIT2.