I have a question that may seem a bit silly to you guys. When I look at https://etherscan.io/txs, I see a huge number of daily new records. I wonder if all these records are created by wallets? I ask this question because I see many people use exchange sites to exchange ETH and I wonder if those transactions will also be included here. Thank you.
Whenever you make a transaction on the ethereum Blockchain (irrespective of wallet, exchange, raw transaction or any other way) all of those will end up into the Ethereum Blockchain (on success). The way you can look at these transactions in explorers like etherscan is search by the transaction hash or account number (though there are other ways like block number, ens but they wouldn't give you exact information you are looking for).
So to summarize, every transaction (on ethereum mainnet) will end up into the Blockchain and can be searched in explorers like etherscan.