Indices are not directly tradeable and therefore are not listed on exchanges as opposed to equities. Therefore, providing an exchange parameter in the response of /indices API endpoint is impossible.

If you still need an exchange, you can map an index to an ETF or a mutual fund. For instance, S&P 500 can be mapped can be with SPDR S&P 500 ETF (SPY), iShares Core S&P 500 ETF (IVV), or Vanguard 500 Index Fund Admiral Shares (VFIAX).