Once it is confirmed (especially once it is over the 5-6 confirmations) nothing is going to change that transaction in the blockchain... that is the whole point of the blockchain. The warning is really for people who are happy to accept zero-confirmation transactions and provide goods and/or services without waiting for at least 1 confirmation.
If the transaction is marked as RBF and IF it still has zero-confirmations, there is a possibility that the person who sent it could then resend the transaction with a higher fee, sending the money back to themselves (or someone else) and hope that a miner includes that transaction in a mined block first.
On the plus side, "RBF" is a useful way for people to be able to help shift stuck transactions... if they had used a stupid low fee of like 10sats/byte and it was stuck in the mempool... they could effectively redo the transaction with a 160sats/byte fee to try and help it get confirmed.
The idea being, if a transaction is RBF and not from a trusted source, DON'T trust it until gets at least 1 confirmation.
Your transaction to your exchange is probably just unconfirmed because the network is crazy busy right now... loads of unconfirmed transactions. I doubt it has anything to do with the RBF transaction. I hope you used a decent fee for your transfer to the exchange.