I know what you mean, I went through the same. I liked Poloniex best but it is plagued by complaints and problems so I quickly moved to Bittrex because it was super fast and reliable. But when I started doing the math, the trading fees seriously add up! And now that I have my funds on my hardware wallet, which means withdrawing from exchanges, the withdrawal fees are killing me. It's like 5-6$ just to withdraw some bitcoin... I paid close to $30 to get all my different crypto's out of there.
I'm actually loving Etherdelta, it has a different model and is based on Ethereum so the main cost is Ethereum gas. But it's not n00b friendly and can be a costly learning experience.. after that it will be cheaper because of no withdrawal fees (except a few pennies for the gas). But I don't recommend trading on there unless you have a Ledger nano S. If you have one, definitely check it out.. it's super easy login with the ledger.
Bitshares/Openledger is next on my list of things to try out. But I don't like that I can't connect with my ledger nano s like on Etherdelta. It really gives me a feeling of security when I can do that.
I agree with all your points. I haven't checked the Etherdelta yet. I am trying Bitshares these days and learning it. I am still not used to it, find it weird.