The “fish out of water” scenario has been used as a literary device for ages because it instantly creates tension as the foreign element grows accustomed to his/her new surroundings, culture, social norms, etc.

I believe this device is employed in anime by means of the exchange student because it is the most common way for Japanese children and teenagers to identify with this phenomenon. For example, it’s easier for them to understand the where the exchange student from Osaka is coming from — since their similarities outweigh their differences — than to understand why John Blackthorne (from James Clavell’s novel “Shogun”), an English pilot who washed up on the Japanese beach after a shipwreck, thinks the Japanese are uncivilized barbarians.