Each blue box is the steps of Apache Spark job.
You are asking about the WholeStageCodegen this stuff is:
Whole-Stage Code Generation (aka WholeStageCodegen or WholeStageCodegenExec) fuses multiple operators (as a subtree of plans that support codegen) together into a single Java function that is aimed at improving execution performance. It collapses a query into a single optimized function that eliminates virtual function calls and leverages CPU registers for intermediate data.
You can see details here SPARK-12795
The exchange means the Shuffle Exchange between jobs in more details:
ShuffleExchange is a unary physical operator. It corresponds to Repartition (with shuffle enabled) and RepartitionByExpression logical operators (as translated in BasicOperators strategy).
All this information you can get in your code using the explain command
Each step shows you what your dataframe is going to do, this is good to find if your logic is right. If you want more details about Spark UI I suggest you to see this presentation of Spark Summit and read this article about the execution planning.
These information will show you much more about your doubt.