I am about to send a token from MEW/Ledger to an exchange but I needed to activate contracts on my Ethereum app on the Ledger before sending the token from MEW.
What do you mean by "activate"? Is it like adding custom token by putting the contracts address?Quote
However.. It is right that the token will be sent from MEW/Ledger VIA a contract address to the exchange? I never saw this before. Or is it a hacker trying to steal my tokens? 
You are sending erc-20 tokens right? Tokens are basically the smart contracts that's utilizes the Ethereum chain so yeah, it's just right.You can try sending a small amount to test it first if you're unsure but that would cost you around $10-$15 per transaction based on the current gas.