Correct. But some exchanges will do the LN ➡️ on-chain swap for you (like Strike). In those cases, you’re still sending to an on-chain address and the exchange possibly covers the miner fee. So then one has to wait until the fee that the exchange chose is enough to get into a block.
Not sure why LN ➡️ LN would be so delayed though…
What is your destination address that you sent the Bitcoin to?