What happens if you attempt to publish to a non-existent exchange? I assume it will throw an exception? That makes sense to me since that's the same behavior that happens if you attempt to publish to a non-existent vhost.

When you publish to a non-existent exchange, RabbitMq would not tell you anything, unfortunately. It would not throw an exception, so that's why we actually setup when debug. On the other hand, it does throw an exception when consuming a message, that's why we handle this specific case and do the setup automatically :)

Could we have an option to setup the exchange, but not the queue?

I wouldn't go in this direction. If we do, we also need to be able to select if we bind the queue or not for example. I'd argue that either you use the automated configuration or you go ahead with your own.

hmm, I guess it's fine. If there aren't any applications listening.. then it doesn't matter if the message falls out of the tubes.

How to use it ?
amqp://rabbitmq:rabbitmq@rabbitmq:5672/%2f/messages?auto-setup:true and
amqp://rabbitmq:rabbitmq@rabbitmq:5672/%2f/messages?auto-setup=true seem to do not work

amqp://rabbitmq:rabbitmq@rabbitmq:5672/%2f/messages?auto-setup=false

since the default is true

I tried it right now and I have an error
Exchange messages do not exist
Isn't this parameter supposed to create it ?

If you disabled auto-setup, then no.

Note that in 4.3 (#30702), it is renamed to auto_setup for consistency.