I always exclude as well.  In the interest of curiosity, we did do a bit of a test on one server when we were mandated (dictated is more like it) to switch AV software.  It didn't take long to figure out that not having exceptions was a horrible idea.  I got points for "playing nice" with the domain admins in the decision-making process. 😛  That and confirmation were the old good things to come out of the experiment.