When doing a refund on an exchange order - you may notice that it doesn't actually "refund" the customer in the sense of returning the payment back to the appropriate payment method.
This is because the Exchange Order doesn't collect any payments from the customer - the payment is contained in the original order.
As a workaround and a way to reduce issues in your workflow at the moment, there are 2 suggestion:
Shopify will show a refund amount of $0 for these orders, which signals that the customer will not be refunded any money;
We are adding the original order number in the order notes (if this is enabled), which makes it easy to navigate to the original order and issue the refund.
Hopefully, this helps you out. The Rich Returns team will be working on redirecting the refund to the original order.