I am asking for help and advice on where to go - which regulator I can file a complaint against this scam exchanger
Make use for of the scam accusations board for doing that, but know that you have to follow the format required, other members will give their opinions on what they know, but there's no guarantee for you to recover anything.
It is expected that everyone accept to take the risk involved in using any crypto platform from the start, this is where the need for a non custodial wallet comes very important for use.