The answer for both is: it depends :-)
If you will use local disk for Exchange VM, this VM will have limited mobility between hosts in your ESXi cluster and availability will be affected too... because of this (thinking in availability and mobility) I will recommend you put your disk in a shared storage.
About thin and thick disk, actually there is no much performance different between this two type of disks... anyway if you choose thin, there is a administrative overhead to manage the disk grow.