Error the Windows component Server-Gui-Mgmt-Infra isn't installed on this computer and need to be installed before Exchange Setup can begin.
Install-WindowsFeature Server-Gui-Mgmt-Infra, Server-Gui-Shell -Restart
I tried to install pre-requisite checkup, it was showing clean
If we have other than Windows Server 2016, we need to install manually those features. When you have Windows Server 2016, In Windows Server 2016 it is different and advance inbuilt features.
Here we have to Cumulative Updates (CU) for Exchange Server 2016, First download the CU and install from here
Once, download complete try again to install Exchange 2016, this time you can see everything is running smooth.
Hope it will help you!