Pretty sure you have a two-stage Jake brake rather than an exhaust brake. When you turn the Jake on, the transmission will downshift to 4th gear unless your speed is too high. It will not downshift to a lower gear unless you manually do so. Our transmission downshifts all the way to 2nd gear--manufacturers changed this due to some owners complained about the harsh braking in lower gears. You can have this reprogrammed if you wish. The lower the gear the Jake brake is in, the greater the braking. With the Jake brake on high and in 2nd gear, it will feel like you threw out a boat anchor!
The two-stage Jake brake will use either three or six cylinders for braking. Appropriately used, with a Jake brake you hardly need service brakes while on the highway.
2000 Prevost Marathon H3-45
Towing 2006 Nissan Maxima