There's no real deep-rooted linguistic reason for the "ex" in "exclamatory." It's simply a matter of how the word evolved:
* "Exclaim" comes from the Latin "exclamare," which means "to cry out."
* "Exclamatory" evolved from "exclaim" to describe a sentence that expresses strong feelings.
So, the "ex" in "exclamatory" is a remnant of the Latin root, just like the "ex" in "exhale" comes from the Latin "exhalare" (to breathe out).