Every website has an opinion one way or the other on the trans heat exchanger. So, what is the consensus here? Do I replace it or delete it and put a under bed cooler on it?

I would say keep it and replace the damage heat exchanger for the transmission.

The factory heat exchanger not only cools transmission fluid, but all so heats the fluid to operating temperature in cold weather.   With the average winter low temperature of 9°F in your area it would be prudent to retain the heat exchanger for winter drivability.

Could a guy put a full flow directional valve in diverting the fluid either through the block mounted cooler during winter months and then shut the valve during summer months? Maybe run the summer hose circuit through a derale cooler with fan under the chassis?