Macros and exercise HELP!!

If you use MFP as intended (=your chosen activity level does NOT include exercise, only daily life activity), you log exercise in your diary and it will give you extra calories to stay at the weight loss rate you selected. So yes, you are meant to eat those exercise calories.

That's the theory at least.
In practice, it will depend on a number of factors:
- the reliability of the exercise calorie amount (this will depend on the type of activity and source of the number)
- how accurate your food logging is (less accurate often means people eat more than they think, which requires them to eat no exercise calories or only part of them)
- how accurate your selected activity level is (life is complex, not easily split into a limited number of activity levels)
- how statistically average you are (your calories goal is based on population averages, but as an individual you may require more or less calories than average)

So what to do?
I would suggest eating your exercise calories for 4 to 6 weeks and then comparing your actual weight evolution to what was expected. Losing more quickly than intended? You can increase your intake. Losing more slowly? You can eat back fewer of your exercise calories.
(Exception: if you're losing a lot more quickly than intended and/ or feeling weak, don't wait 4 to 6 weeks to increase your intake!)