No. Exclusive mode does not allow MC to show the UI overlay, so when you move the mouse and show the top scrub bar, MC has to exit Exclusive mode. MC can now, with current builds, show the OSD (the menu accessed with the arrow keys during playback) without exiting Exclusive mode, so that's nice and a fancy trick. But otherwise, Exclusive mode means that NOTHING can be drawn "on top" of the playing video. If you show any Windows UI elements, or any MC UI elements (other than the OSD) then madVR has to exit Exclusive Mode by definition.
You can disable Exclusive Mode in madVR if you want. Right-click on the playing video window, choose DirectShow Filters -> madVR. In the madVR configuration dialog, switch to Rendering -> General Settings and uncheck enable automatic fullscreen exclusive mode.
You could also use Red October Standard instead, which uses EVR (on supported platforms) instead, and is still quite high quality.