I would contact the exchange and send the coins straight back. Job jobbed.
It's not as if you could do much with it anyway. The moment you yourself send it to an exchange you're getting nailed for it.
Exactly, that and report it to the correct authorities, they screwed up and sent it to you, you email the fbi or local government agency and the exchange that sent it to you, you keep everything public and open, it is as simple as that, nothing to worry about in the slightest.