My understanding is that you can chose to put your commander in the command zone instead of putting it in the graveyard or it being exiled. Putting it in the command zone is a replacement for putting it in the graveyard, so "When X is put in the graveyard" effects don't trigger if you put it in the command zone when it "dies".
However if you put your commander in the graveyard to trigger a "Graveyard effect" on it and your graveyard is subsequently exiled can you put your commander in the command zone rather than exiling it?