A heat exchange boiler is not a traditional double boiler, as it doesn't maintain totally separate boilers for the brew head and the steam wand. It does, however, have separate water delivery systems, so you can brew and steam with it at the same time -- if you want. Some folks prefer not to (either the multi-tasking is a challenge or they are concerned with how it affects the brew temperature), and then the benefit of a heat exchange is that you can switch very quickly between the two functions. In this video, Josh shows us the internal components of the Quick Mill Vetrano and explains how it all works -- a great primer for anyone interested in the tech side of things.
Internals of a Heat Exchanger
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