This is actually EXTREMELY commonplace in psychology and cognitive science. It is an extremely long time to spend with applicants, and is pretty nerve-wracking for applicants, as far as I remember and from what my peers indicated. Essentially they set up a lot of activities (introduction to the department, lab tours, dinner, interviews with individual faculty members, chilling with the grad students you may be working with, etc.). Furthermore, in psychology, I don't know of many individuals who were accepted without attending the interview weekend.
OP: If you can reschedule the exam at all, I would do that. It's not a lot of class to miss if it's a school you really really enjoy going to. I visited three schools last year and missed a lot of class and still ended up with a 4.0 that semester after writing a 91 page thesis. It's not undoable, though it may be pretty stressful to transition between school and visiting weekends.