"Very" and "so" do not mean exactly the same. "So" always expresses a very subjective opinion, while "very" is (normally) used for more objective statements. For instance, in a formal document, you couldn't write "This country's economy is so stable". I don't know if this pragmatical difference exists in Indonesian too.
I'm not sure "thrilling" is the best translation of "menegangkan." Maybe? But it's a stretch for me. It looks a lot more like "tense," which to me has a slightly less positive connotation than "thrilling" does. But if the English said "nail-biting" (i.e. the competition is so tense that people are on the edge of their seats, biting their fingernails in hope, fear, and anticipation of what might happen next), then I could see it. Perhaps "mendebarkan" would be better?
Then again, if this really how many Indonesians would say "thrilling" in the context of a competition, then we should know that. Their language, their culture.