Yes, you can say it's a management style. In general, management by exception means that managers will only be involved when there are urgent issues that require their intervention. The advantage of over management styles is that management by exception allows managers to focus on advancing their department, rather than waste their time just making sure that everything's OK.
The term slightly differs in a project management context, as it means that the project review board will only meet when critical decisions are to be made/unexpected problems arise that need to be solved. Of course, these critical decisions and unexpected problems cannot be made/solved by the project manager alone. When management by exception is applied, the project review board does not have to meet regularly (every week/month/etc...).