I don't remember, or have never learned, exact scope of "exempt" or how much/far it would affect to. But at least know that in the webfilter profile it would go through URL filters first then Category filters, and inside of category filters, go through local categories first and the rest based on the order you see.
Then if you exempt at a point of this chain, it would stop checking the rest and exit the process. Ex. if you exempt an URL in URL filters, it would never go to category filtering checks, while if you allow one URL in URL filters, it would still go through checking category filters.