Will connecting an Exchange account to my Mac enable remote wipe?
The only supported devices for remote wipe are: Android, iOS, Windows. macOS is not supported.

https://docs.microsoft.com/en-us/intune-classic/deploy-use/use-remote-wipe-to-help-protect-data-using-microsoft-intune

inTune features for macOS are listed here:
https://docs.microsoft.com/en-au/intune-user-help/using-your-ios-or-macos-device-with-intune