It used to say that but the rules always stated (I think) that it goes to exile first because you can't cast a card in between the resolution of an effect, so when you discard a card with madness, it goes to exile, then when the effect that discarded it is over you get the option to cast it or not.

Also random side note:

"However, the Shadows over Innistrad update did subtly alter the process of discarding a card with madness. Previously, a player discarding a card with madness made two choices. First, that player could choose to discard the card into exile rather than the graveyard. Then, if the card was discarded into exile, that player could choose to cast the spell immediately for its madness cost, or to let the card continue to the graveyard as usual. The first part of this process is no longer optional: a card with madness is always discarded into exile, after which the player can choose whether to cast it, or let it continue to the graveyard.["