Is it possible to change the content type on nodes in Drupal 6

Have you looked at the fivestar module? You could use that to allow users to vote on the exercises, assuming the exercises are nodes. At the least, the votingapi should be used as the basis of any vote-related feedback, I'd think.

First off: The modules page is indeed a wicked beast, as it completely flushes all of Drupal's internal caches and rebuilds them to ensure that freshly-installed modules have the latest data. It's not a good predictor of site performance (since usually only specific administrative tasks flush those kinds of caches), though it is annoying.

Second: Importing content types ALSO flushes those caches, because CCK wants to make sure that everything is up to date as well. It's sub-optimal, but there you have it.

Finally: The number of CCK fields and content types you have DOES affect how much work gets done when caches are flushed and rebuilt. CCK pulls in all the information about all of the defined content types and their fields, builds a data structure to describe them all, and uses that cached version for later reference. With hundreds of fields and dozens of content types, rebuilding that cache of data takes longer, exacerbating the delays you're seeing on the modules page and when importing new content types.

The good news (such as it is) is that this particular issue doesn't have too much impact on the site's overall performance, just the administrative actions that flush those caches.