If you have multitail installed you could use it with -E to select only lines that match a certain regex and with --label to prepend those lines with the filename e.g. (adjust -N 0 per your needs):
multitail --follow-all -N 0 --mergeall -E 'Exception' \
--label 'a/b/c.log: ' a/b/c.log --label 'd/e/f.log: ' d/e/f.log
If don't have access to multitail, you could just tail -f each file and post-process the output with tools like grep, sed, awk e.g.
tail -f a/b/c.log | sed '/Exception/!d;s|^|/a/b/c.log: |' &
tail -f d/e/f.log | sed '/Exception/!d;s|^|/d/e/f.log: |'
or
tail -f a/b/c.log | awk '/Exception/{print "a/b/c.log: " $0}' &
tail -f d/e/f.log | awk '/Exception/{print "d/e/f.log: " $0}'
grep -H "Exception" */*/*.log? If the pattern is actually different from your example, then you'll need to adjust it.