is it easy to apply to hairline or does it get all over. is it sticky?

It's easy to apply to the hairline. I apply it in divided rows of hair. It's not sticky. I've tried them all and it's the best one of all.

If the color is wrong can I exchange?

I don’t know but it didn’t work at all

Does it transfer to pillowcase if I sleep overnight with it on?

I never experienced this, but with long hair, my roots never really touched the pillow. I mainly use it along where my hair is parted; if you use it along the roots around the sides and top of your face, maybe it would come in contact with the pillow more and come off.