Sorry for the loss if you were also part of the victims of the scam. People are always advised to avoid having their addresses that have assets interacting with random Dapps or smart contracts. Most influencers on Twitter promote scam anyway. Don't follow them religiously.
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Can we complain about this address to exchanges?
Have you zeroed down to which exchange the address belongs to, or which exchange hot wallet the funds are transferred to? Maybe you can start from there.
Were you affected personally?
Seems like the classic drainer scam. You connect your wallet to the service, give it the needed permissions without checking what you are actually doing, and they drain your wallet of any valuable tokens. I have seen similar ads on Twitter about projects promising to return all the fees you spent on the Ethereum network. It's all a scam, of course, but obviously one that manages to trick enough people.