You're not really being scammed. I also contacted Exodus support and they confirmed that they are dealing with the exchange you mentioned.
This is actually what all wallet providers with build-in exchanges do actually. They use APIs from third parties such as Changelly, ChangeNow, ShapeShift, SideShift, etc.
It's as explained by the support, when you're using the exchange feature, you become subject to TOS of that third party provider:
AML/KYC procedure might be applied in respect to those crypto assets payins, which are determined by our automated risk prevention system as suspicious. In these cases, Cripto InterCambio service will contact the User by email registered with account.
Obviously, though, there's no way to know for sure whether they actually detected something suspicious or they're just trying to selectively scam but I have to say, that the amount is pretty big, the transaction would've probably gotten flagged by any other service out there.
Sadly, the only thing you can do at this point is to provide the details they're requesting you to (the proof of funds in this case). Although I do think that Exodus should put a warning for people about the possibility of this happening.
I would also suggest you stop using this feature with such a large amount (regardless of the wallet used). If you don't want to go through the KYC process, use a more reputable CEX like OKX or KuCoin. At least that way, you're aware of your trading limits.
