The purpose of RNA-seq is to measure expression at the transcription level. RNA-seq is neither able nor intended to measure expression at the translation level. Hence exons are relevant and CDSs are not.
RNA-seq allows you to measure lots of interesting and important transcripts that don't code for proteins at all.
Even if your interest was limited to protein coding genes, and to likely protein expression, you would still need to measure RNA level expression in order to predict protein expression, and the exons give you the best means to do that.