Nylocks are designed to be installed on bolts in application that have one of these characteristics: the bolt is secure in its axis, think rear trailing arms 105/115;and/or the head of the bolt is jambed, like the bolts mounting the lower "A" arms to the chassis.
The exhaust hanger does not fit either criteria, as it is unsecured and will move arround as you try to tighten it further or father more, as the case may be, generally you not want to use a nylock where you have to tighten (turn) the nut down bolt length greater the thickness of the nut. Generally you don't use nylocks where one expects to be undoing and reusing regularly. One worst case, someone removes entire exhaust system from car, throws fasteners in the bag, then nylock ends up on downpipe. It is just best practice to do it right, works better and in this specific instance, a hex nut first makes for an easier install. I'm leary of small planes, and if the exhaust falls down, carry a coat hanger.