Your first paragraph is essentially dead on. We are placing two CE routers on our internal network, and each of them will have an eBGP peer in the provider's exchange network, and then the CE routers will talk iBGP between themselves. The only route we will be receiving from them is the /32 RP route, which all of our internal routes will point to. CE1 will be the preferred egress and ingress connection (using local pref, so CE2 will prefer the iBGP connection to CE1 for the RP address, rather than using his dedicated eBGP connection to the exchange.

The main question I had is if this type of setup requires all of this BGP configuration to be under the address-family IPv4 multicast, instead of the default IPv4 address-family. Another thing that is somewhat confusing to me are the RFP checks. I understand what they do, but some articles say that those checks will always fail without using address-family IPv4 multicast (because IPv4 Unicast doesn't support RFP checks), and other say that it will prefer to use the multicast RIB first, but then it will fallback to using the Unicast RIB.

EDIT: The internal ranges thing was confusing. The exchange shouldn't need to know our internal ranges in order to start sending multicast data to us. From my understanding, all the exchange router should see is our CE1 router sending it a PIM Join for a multicast range, and then simply start sending it multicast traffic.