So, if you haven't decided that you'll stay permanently in the new country, but maybe instead you'll move to a 2nd new country, a 3rd and so on, then you might consider yourself an expat, but not an immigrant. At least that's how foreign students here, seem to refer to themselves: They're here for a few years, and then will probably leave, and they call themselves "expats".
And also, what about this: If you still have your identity in your home country (e.g. the culture there?), you'd think of yourself as someone from that country: "I expatriated from Home-Country". But if your identity is in the new country, then you'd think of yourself primarily as an immigrant to country New-Country?
I know that expatriate can colloquially mean a person temporarily abroad, but in this context, it refers to immigrants to Spain who generally intended to stay permanently.
I'm Irish, but once was an immigrant/expat in the US (in that I intended to stay permanently and to become a citizen, but things ended up not working out that way). I always thought of myself as an immigrant, but there were a lot of people I met who called themselves expats and never immigrants. Some almost seemed offended by the word. I think your comment about exceptionalism probably captured the reason why.