Drain oil/heat exchanger?

I just did my first oil change and I have the large pd130 oil/water heat exchanger. Theres a large plastic nut on the bottom I believe is holding oil right? If so should I drain it? I tried turning it but the whole exchanger turned.

That's the fastener that attaches the heat exchanger assembly onto its mount. The sealing is accomplished by O-rings. It's generally not touched unless a leak is detected there.

Good thing I couldnt get it off than thanx!

If you like, you can remove some of the dirty oil from the cooler with an oil extractor from the top with the filter removed.

since you did get it to move some, keep an eye on it for leaks.

The seals are common to leak and now that its disturbed, it will likely start leaking in the future. Seal replacement is pretty easy though.