If there is an exchange, should the customer be able to keep the discount (e.g. a code for “new customers”)?

If it is an exchange for another product, you can make a configuration so that the customer can exchange for something else as if he had bought it at full price. For example, if you buy something for 100€ with a 10% welcome discount, you have paid 90€. What we can do when you exchange for another product is that you have a credit of 100 to buy something else.