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.
Once a player has begun their turn by picking a tile from the wall, they may do a Joker exchange or multiple Joker exchanges from any player's rack including their own.