What you describe is normal. The Exhaust brake can only do so much to hold (or slow) the coach speed downhill (depending on weight of coach and road grade). Once the engine reaches a certain speed the transmission will up shift to protect the engine from over speeding. You have to then brake hard and steady to get the speed back down.
The gear that the transmission goes to when the exhaust brake is turned on is "programmed to". On my coach it is set for 4th gear. It will not just "drop" into 4th (the vehicle/engine speed needs to be in the proper range for that gear). So say you're moving at 50 mph down a steep grade (in 6th gear), you use the brakes and exhaust brake to slow down, and the transmission will downshift to 5th as you slow then into 4th. It will stay in 4th with engine rpm at, say 2100 - 2400, but if the down hill speed starts to increase again (hill is just too steep) you have to step on the brakes again or transmission will up shift,