Hi,
I am a little tired right now, but if I understand you correctly and you have written the second share exactly as stated, i.e., "Volume1/Exchange", I think by including the "Volume1" in that share, you included all of "Volume1", but you have a conflicting rule in the first share. Thereby denying access to your "Exchange" group. Try deleting the "Volume1/Exchange" share and make create a new share, but this time make sure you just highlight the "Exchange" folder when you do. In other words, you should have 2 shares, "Volume1" and "Exchange". I hope this helps. Good luck.