Enemies exhaust when they attack during the Enemy Phase, and Massive creatures specifically state that they are considered to be unengaged when they are exhausted. Do non-massive enemies unengage when they become exhausted from attacking during the Enemy Phase? It rarely matters since they would ready and engage again in the Upkeep Phase, but if they unengage and then immediately re-engage, it would trigger Zoey Samaras' Investigator ability. From what I can tell, Zoey's ability triggers when attacked by Massive creatures but I can't figure out if it triggers with non-massive creatures. Additionally, enemies with Prey conditions might switch who they are engaged to after attacking if they become unengaged as a consequence of being exhausted by attacking during the Enemy Phase.

I haven't been able to find an answer to this in the rules books or when I look online, so "Thanks!" in advance to anyone who is able to answer this question.

Edit: I just realized that Massive enemies don't trigger Zoey's ability, but I'm still interesting in my question as it would matter for enemies with Prey that might switch investigators after the Enemy Phase.

No, enemies do not disengage when they exhaust. The instruction under enemy phase on page 25 of the rules reference simply says to apply a ready enemy's damage and then exhaust the card. Exhaust (pg. 11) simply says to rotate the card 90 degrees and doesn't say anything about disengaging.

That is why Evade (pg. 11) says that the enemy is exhausted and the engagement is broken, because exhausting does not imply disengaging.