If you mean Worksheet_Deactivate event, the answer is no. The UserForm is a separate platform and loading or unloading it does not normally affect the worksheet events, except that the code in the initialize event of the UF might cause changes or remove focus from a control, in which case the Exit event could occur.
No, I do not mean worksheet deactivate. If I have an _Exit event on a userform textbox and I read a value into that textbox from the spreadsheet in userform_initialization, will the Exit event fire/trigger?
Also, there's one other thing you may want to keep in mind. If a textbox has focus and you unload the userform, the Exit event for that textbox gets triggered. So, depending on what you have, you may want or need to add code accordingly.