Well, I think that DK tend to be a bit underestimated but Exhien is not a card I would play along with them because they don't really mix together well. The choice is up to you anyway. I'd rather play him in a Noz'Blast so he can benefit from Archmage Anryena's effect (Compendium take less damage) along with Prophet.
What I'd use him for would be getting (or if you do not own this card) from my deck as early as possible
One of the forte of this new LU is that you get your orders more often in the first three turns. You may say: what if the opponent kills my characters because they lack defense (Prophet without Aerouant is pretty much bound to die)? The one who will be played at T3* will most of the time be Exhien, so you benefit from their deaths (which was absolutely not the case with the previous LU, where each death weakens the deck a lot).
Plus, Exhien boosts his spirit when he plays spells you find a lot in Noz'Blast (especially Fire...)
Eredan wisdom + Magic Study at T3 with Exhien, your two other characters being dead, is situational but I'd love to see that at least once (8 damage at the activation, 12 at the end of the turn... Don't see many spells that strong - plus, you keep that 12 damage for the next fight).
Finally, he's got decent defense and lives for a mage.
Still need to run a few tests before I use him in my LU though
Or you can switch him with one of the usual characters of the Compendium LU because his order makes him quite good for Compendium.
* Opponent chooses first: Archmage => Prophet => Exhien
You choose first, Prophet => Archmage => Exhien