Just like having an in-house catering service, an exclusive catering service means that you can't choose that catering service. They might be out of your price range, so you'll have to consider adjusting your budget. They may be the exclusive provider of that place, but that doesn't mean they have a full kitchen on-site. Most wedding venues will have preferred suppliers for your flowers, DJ and catering, to name a few.
The title means that they trust these specific providers and know that they will do a good job. If you hire the DJ that your venue prefers, for example, you'll save time because they already know the location, the charging instructions, the configuration details and other special peculiarities that the venue may have. Most venues will tell you that your preferred provider is someone you can easily work with on the day of the event.