Commander got exiled

My commander got exiled while I was under the control of my opponents Emrakul, the Promised End. As he casted Utter End on my own commander and decided to leave it in exile.

I know that typically if your commander enters another zone IE Library, Graveyard or Exile you may return it to the command zone.

So my question here is, is it a player decision to leave your commander in the zone it moved to (IE sometimes you'll want to leave your commander in the Graveyard to reanimate.) or is it a game state action when a your commander changes zone that you can choose to ignore.

Lastly, if my commander is now in exile, is there a way to get it back? Or was the interaction not suppose to happen in the first place?

*Update for context.

This happened at my locals with some regulars that i play with often, not my actual playgroup. He was testing out his new Ulalek, Fused Atrocity deck which was just jammed packed with the spegget monsters.

I was running Niv-Mizzet, Supreme and had Supreme Verdict in the graveyard ready to Jump-start and blow his board away. So removing my commander prevented that line of play which allowed him to win the next turn.