I felt much the same as you did. Also, exchange is an awkward word. In this case, they actually mean "an exchange", like a marketplace. Not to exchange votes/followers back and forth.

To be honest, I think the follower exchange is the far less valuable part. The vote "exchange" is very cool. You basically get free passive promotion by appearing in the feed for being generous to other users with your vote. You rarely actually get voted back by the same users you vote for, because they don't see you or even get a notification. They'd have to check their post or Steemd to even see it. It's not quid pro quo, it's a positive-sum gain for the users that are on the service.

I hope Steemit communities can bring similar types of advantages when they go live.