Is there a way for SGP to tell PHD2 to use the Auto exposure setting for the guide star?
Auto Exposure changes the time between guiding corrections and as such has a deep and uncontrolled impact on the guiding algorithm. If you really want to use it, you have to set it up directly in SGP.
Auto-exposure is set within PHD2, not SGP. You just need to set this in the PHD2 profile you will be using, and then tell SGP to open that profile when guiding.
As noted above, it isn’t recommended for good, consistent guiding.