If a player picks a tile from the wall, declares mah jongg, and starts to expose his tiles only to find out he did not have mah jongg, their hand would be considered dead.
There is no requirement to do a Joker exchange if you have a tile that would allow you to do so. In some cases, a player may choose not to do a Joker exchange if they want to prevent another player from being jokerless or to go for a jokerless hand.