In all fairness NXT has an exchange built into the system as well, but that doesn't give it immunity against collapses.
That is true but Nxt does not have market assets. It only has user assets which aren't really good stores of value. If the Nxt ecosystem of businesses collapse then everyone wants out into fiat because there is no virtual dollar on the Nxt chain backed by anything or any contract for difference.
Imagine the Bitshares blockchain which has a BitUSD which lets you save the buying power in the form of the dollar? That is the polymorphic digital asset and there is no reason to cash out when you can cash out without Bitshares itself and not be subject to volatility. If the other market assets work as intended then some of them could perform even when everything else in the ecosystem is going down.
Example suppose you had Apple stock on the Bitshares blockchain and somehow it was market pegged perfectly? Then even if Bitcoin is suffering in price the Apple stock might be going up so people would just start shifting their money into it. In Nxt they don't have these abilities yet and really only Mastercoin has plans for functionality like this.