If you choose to remove the EXIF data by enabling this option in the plugin settings (Settings > ShortPixel > Image Optimization), note that comments, IPTC, and XMP markers will also be removed.
If you choose not to remove EXIF, then the comments, IPTC and XMP markers will be preserved.
Please note that the ICC (Color Profile) data will never be removed regardless of the “Remove EXIF” setting value. The reason behind this is that removing the ICC color profile could lead to images with altered colors.