The tricky thing about the Art Exhibit is getting all the pieces (weeks if not months of looking for it plus the hundreds of thousands in AD currency to actually get it). And it only starts to become worth putting down at level 5.The Art Exhibition is one of the best buildings in the game. They've already got all three Settlement prizes which are probably the only things definitively better.
IMO, there isn't enough space in a tiny town to really consider a military focus (if that's what you're implying). The only military bonuses I'd consider are the ones that don't really come at the expense of something else. Like Yggdrasil is still definitely worth having, but I wouldn't even look at something like a Checkmate Square or Winner's Plaza. I'd be looking at goods production primarily, possibly even moreso than FP.
As for military, that's why buildings like the Charcoal Express, Abandoned Asylum, and Hippodrome Carceres are invaluable; you get army bonuses along with considerable goods and FP (plus coin and supply). I'll be adding the Governor's Villa after the Summer Event for the goods, unit income, and ATK%.