The problem here is that "theory" can mean different things in different contexts. It can be used to refer to both a very specific and singular idea or explanation (for example: the theory of general relativity), or it can refer to a broad category of thought or study (for example: game theory).
In this case, "social exchange theory" appears to be a case of the latter usage of "theory", referring to a broad category of study, so you would not modify it with "the" in this case.
It can also be said that using "the" in front a theory makes it more definitive, so usage of "the" might be reserved for theories which reach a certain level of acceptance within a given scholarly or scientific community.