Including critical feedback about a course on exam paper
A note in your exam will most likely be disregarded.  There are a number of channels for feedback, this will vary according to university.  Feedback forms at the end of the course is the most common but you can reach out to your faculty administration and they should be able to provide you a form.  

You can also try to approach your professor directly: be courteous and to the point.  Remember that they're probably overloaded and they're doing the best they can in the circumstances.

Having said all this.  I have to say that most university courses are meant to be introductory courses.  That is the purpose is to give you an overview of the basic theory and the possibilities in a given subject. No course will ever be complete, even if you take advanced courses.   

In practical courses such as the one you mention your best bet is practical experience: by yourself, through an internship, etc.  This is something you can do (by yourself) now that you have been given the overview at the course.