Rules FAQ
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If multiple cards are revealed at the same time, you can only trigger Margaery once.
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If a search effects instructs you to "reveal" a card (usually followed by "and add it to your hand"), you can trigger Margaery to place that card in shadows instead. But note that only the card you find with the search effect is usually revealed, while other cards in the portion of the deck you are searching through are not.
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If Margaery places one of the cards revealed by Exchange of Information in shadows, the opponent cannot choose that card to add to your hand. They must chose among the cards that are still revealed.
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See the Rules FAQ on Alla Tyrell for other similar interactions that apply to Margaery as well.
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A card can only be "revealed" by card abilities that specifically use that word. If players can see the card by some other means (such as when it is shown as part of checking play restrictions, for instance), it is not considered to be revealed.
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Any ability that lets you "look" at cards in an opponent's hand or deck does not "reveal" those cards, even if both players know their identity as a result.
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You can use Margaery to place a card without the printed shadow keyword into shadows, however, that card will not automatically gain the shadow keyword while it is in shadows. It will need another way to come out of shadows (for instance, The Queen of Thorns (TMoW)).