Diagnosed with mild cerebellar tonsillar ectopia, i am experiencing headaches while excercising. should i be concerned?

Yes: I would see a neurologist as soon as possible. Particularly if you are having headaches. This could be a serious problem.

Co-morbidity: Unlikely that your headaches are caused by the ectopia, and other causes, such as dental/jaw, sinus/nasal, cervical, thyroid, could all be considered. But, may well be migraines which are exercise triggered.