My impression only, don't take as fact:
I don't think the CAA have any clue to whether you've done any exams or not, and will only see this when you apply for your licence. I have some recent experience regarding my exams which I don't want to go into, but I do know my FTO have the exam answer sheets (what do you call them? exam papers are the questions, which obviously they have, but they also have my answer sheets) and my CFI indicated that the CAA are only really told of the results: its up to the FTO to keep them for a period of time (2 years springs to mind).
As for your record, the FTO will keep this unless you move, in which case they will send it on to your next school. My first school went bust, and they gave me my record, which I subsequently handed to my new school.