The Windows component Server-Gui-Mgmt-Infra isn't installed on this computer and needs to be installed before Exchange setup
You get this error "The Windows component Server-Gui-Mgmt-Infra isn't installed on this computer and needs to be installed before Exchange setup" when you try to install Exchange 2016 on Windows 2016 server. Exchange 2016 pre CU3 does not support Windows 2016, therefore you need to download Exchange 2016 CU3, which is in fact full copy of Exchange 2016 server in order to install it on Windows 2016 machine.