The state field is there also to cover provinces, one or the other of which would be included in most countries. This is certainly something you can remove, however, if you'd like to do so. You'll want to download and unzip a copy of Exchange and then go into Exchange/lib/templates/super-widget-shipping-address/loops where you'll find the fields.php file.
You don't want to make changes directly to that file as any subsequent updates to Exchange will overwrite your changes. Instead, you'll copy that file into a directory you create in your theme. The directory would be as follows: wp-content/themes/YourTheme/exchange/super-widget-shipping-address/loops/
In your copy of fields.php, you'll see this at about line 19:
<?php $fields = array( 'first_name', 'last_name', 'address_1', 'address_2', 'city', 'country', 'state', 'zip', 'nonce' ); ?>
Simple remove the "'sate'," portion of the code, so it will look as follows:
<?php $fields = array( 'first_name', 'last_name', 'address_1', 'address_2', 'city', 'country', 'zip', 'nonce' ); ?>
This will remove that field from you shipping address form.
Let us know if you have any additional questions.