States can set up exchanges, if that’s what their citizens want, and will support, politically. There is nothing unconstitutional about that; nationally, it’s another story.
One doesn't have to go thru one of the exchanges to purchase an Obamacare policy. One can purchase an Obamacare policy directly, through an insurance agent/agency.
However, if one purchases an Obamacare policy from a private seller, there is no provision for calculating or collecting a government subsidy on the cost of the premium!
Thus, McConnell's purpose in preserving the exchanges would be to retain a mechanism for distributing a government subsidy.
THE EXCHANGES NEED TO GO!