At the time I did that transfer I was using the online wallet and it was on the online wallet and the exchange at the same time. For the wallet you have to download, I cannot answer to that. I don't keep BTS on the BTS exchange anymore unless I am actively trading then it gets removed from the exchange. I don't recommend keeping your BTS or any other crypto on any exchange unless you are actively trading it.
RE: How To Withdrawal BitShares From Bittrex Account