Hello Zmaj and welcome to the avast! web forum.
1. Yes, both avast! and Malwarebytes RT (real time) shields may be turn on and there will be no conflict among them. avast! and MBAM are two different things.
2. Exploit are holes in system that malware may use to load itself to the system. While M$ are trying to fix the new detected security holes in the system itself, malware usual use the third party software (like Java or Adobe, even Firefox and Chrome browser) to attempt to load itself to the system or to preform some trick so user download malware unknowingly.
avast! shall protect you from the know exploit attempts. The same goes for MBAM but in most cases the user itself load malware as I sad, unknowingly.
3. I would say it blocks the mal_content.
Do not track block the social networks and ad tracking by default.
I do not use any form of add 'do not track me' like, so I am not 100% sure.Све најбоље друже, довиђења.