MSK Therapy, should we expect initial exacerbation, or not? 

It is crucial to know the etiology of the patient's pain if one is to predict initial and long-term outcomes.
What I've found, personally, is that initial exacerbation depends on the cause of the problem. Mechanical issues, e.g., subacromial impingement [largely] caused by downward rotation of the scapula, should not get worse, as proper movement patterns may immediately be changed. Myofascial problems, on the other hand, such as myopathy or tendinopathy will usually exacerbate before it improves, due to very poor initial work capacity of the afflicted structure, which takes time and hard work to improve.
If the patient is under the impression that they're just getting better, and exacerbation hits them, this may cause loss of trust for the practitioner and thus poor compliance, poor results and prognosis. However, if they're told in advance that it SHOULD hurt, the pain is now "benign" and they know they've done their homework properly. Trust is maintained, even gained, although the result is the same. Compliance increases, and the likelihood of beneficial outcomes increase.
Do you think the cause of your patient's pain is myogenic? Let them know that they should expect exacerbation if they did their exercise properly. Hip impingement? Shoulder impingement? It should definitely not get worse. Let them know that, so that the expectations are properly set.