The simplest implementation of the Relationship field would be to create a relationship field for each of your pages and filter the post according to to the post type ie either Exhibition, Collection or artist.
I hope this helps.
Welcome to the Advanced Custom Fields community forum.
Browse through ideas, snippets of code, questions and answers between fellow ACF users
ACF PRO’s Flexible Content field allows you to create smaller pieces of UI and compose them into whole flexible patterns. In our latest article, we show how to use it to create swappable site sections and integrate it all in a theme.https://t.co/ZRocH8oJSp