To utilise the "Exchange for Something Else" feature, you must configure the Swap sales channel within Shopify.
1. Go to admin.shopify.com
2. Click "Products"
3. Click a relevant product
4. Click here
5. Click "Manage sales channels"
6. Select "Swap"
7. Click "Done"
Collections
Publish collections to the Swap sales channel as well as products. The returns portal reads your catalogue through Shopify's Storefront API, which only returns collections published to the channel making the request.
This matters for product-level discounts configured against a collection. If the collection is not published to Swap, the portal cannot see that an exchange item belongs to it, so the discount is not carried over to the exchange. See Exchange Discounts: Carrying Over Original Discount.
To publish a collection, open it in Shopify, then under Publishing, add the Swap sales channel.