I know its an easy thing but I couldn't figure it out. I am reading effective awk programming edition 4 , but still have a lot too learn. Thank you very much :).
If your Input_file have string named _exon only in 4th field and not repeating further into any field then you could try following too.
awk '{sub(/_exon.*/,X,$0);print}' Input_file
If you have multiple strings to be removed from 4th field(2nd underscore) onwards and they are unique and not coming into any other field and you could change above code to following with a minor change too.