Ex will be unlocked if you have beaten the hard mode, that's for primals. You can get weapons and materials from primals in extreme mode. They are of course harder than hard mode, hits harder and there are changes in the mechanics. Savage is the harder version of raid dungeon such as Alexander. Alexander has 2 difficulties, normal mode, which is for story and savage mode which is for hardcore raiders. You can unlock savage after you have beaten the normal one, kinda like the ex version.