This is sort of a sore point for many exchanges, since some payment methods have been used to scam sellers for a quick buck in the past. Once you have your wallet, you have someplace for your bitcoins to actually go to. When you buy bitcoins, the seller is using a wallet to transfer the ownership of the coins to you. But that’s both the great and frustrating thing about bitcoin: the market has fallen apart before, and it has picked itself back up. You may need to go out of your way to do it, but sometimes we do complicated things to ensure security.