Should I not?

This is how MFP is supposed to work.

If you're set up to lose weight, MFP has already taken calories away from your budget to give you a deficit. If you exercise, your calorie deficit will be larger. That may not be a problem if your deficit is small or you're doing relatively light exercise, but a too-large deficit can make compliance difficult and can lead to excessive loss of lean mass.

It really just depends how much exercise you're doing. If you have MFP set to lose weight, the number of calories the app is giving you will already result in weight loss, so if you're exercising and burning more than your normal amount of calories, there's nothing wrong with eating some or all of those.
Like 4 years ago when I got into running, I used to run about 10-15 minutes three times a week and I would never eat the extra calories. This was mostly because I didn't understand how it worked.

Here's what you need to consider:
If you have MFP set to a large deficit like 1.5 or 2 lbs a week AND the exercise you're doing is burning more than 100-200 calories at a time you're setting yourself up for failure in a few ways. A: you're making an already large calorie deficit even larger, so you're gonna be hungry which makes dieting difficult, and B: you're going to start to get bad returns on your exercise because you're gonna feel weak and tired from not having eaten enough.

If your exercise is shorter and not very intense, (maybe yoga or walking/jogging for shortish distances) than do what feels right on that day. If you're hungry, eat the extra calories, you earned them. If you're not hungry, than don't worry about it. or maybe just eat 50% of the exercise calories. Just be sure to not over estimate the amount of calories burned by exercise.