Does the Exchange even actually work anymore? I know I thought I'd downloaded houses, but it never worked.
Anyway, the first thing to remember is that any house you build and save, or you get from the exchange, will only be able to placed on the lot it was built on. For example, if you built a house on the lot opposite the Idaho's house, then saved that house, it only comes up as being able to be placed on that lot. You can't put it on any of the other lots. So the house you got from the exchange, I'm pretty sure that will only go on the lot that the person built it on. So you need to find out which lot it was meant for, then when you click on "replace house" for that lot, in the tab that comes up that shows you what houses you can replace it with, there should be a tab that says "downloaded" or maybe "the exchange", and it should be in there. As I said, though, I don't think the Exchange is fully functional anymore, so it may not have downloaded anyway.