So I'm fighting the Inox bodyguards and their specialty two has retaliate 3.
In this turn they got initiative 17, but the brute attacked both with initiative 10, does the retaliate activate ? Or does it just when it's their turn ?
Since the retaliate is coming from the action deck, it doesn't take effect until they take their action, so no, the retaliate is not active yet in this case.
(If it was an innate ability of the monster, then it is always active, but that is not the case here.)
Also if I win a scenario and a character Is exhausted but this character completed his battle goal , does it count ?
Might depend on the battle goal, but in general, yes.