Yes, the exams offer a systematic way I can go about learning all the ins and outs of playing the piano.
The style of teaching your teacher is using is often encountered at the university level. Such advanced pianists seldom need such rigorous routines spelled out. They already have got the ground work and go to the teacher to grow artistically. Exploration is very much a part of music - finding out what peaks your interest. This is probably what your teacher is trying to get you to do. However, as a beginner it is hard to know where to start.