The answer to 'why is my heat exchanger not heating' is that the most common causes are a cracked or damaged heat exchanger, issues with the burners, or problems with the blower motor or fan. Symptoms may include the furnace not producing any heat, the pilot light going out, or strange noises coming from the unit.
If the heat exchanger is cracked or damaged, it will need to be replaced by a professional HVAC technician. Issues with the burners or blower motor can often be diagnosed and repaired, but this typically requires the expertise of a trained HVAC specialist. Attempting to fix these problems yourself can be dangerous and may even void your warranty, so it's generally best to call in a pro.