Is blood more acidic when it is carrying carbon dioxide ?

Yes it is. Carbon dioxide (CO2) reacts with water (H2O) in the following reaction to form carbonic acid, which is catalyzed by the enzyme carbonic anhydrase.

CO2 + H2O <--> H2CO3

Carbonic acid can then dissociate into a proton (H+) and bicarbonate (HCO3-).

H2CO3 <--> H+ + HCO3-

During exercise, you produce a lot of CO2. Most of it is transported in the blood by reacting and forming H+ and HCO3-. When blood reaches the lungs, the reverse reaction happens, and CO2 is formed and exhaled. The increase in H+ concentration/decrease in pH during exercise is detected by the medulla oblongata, which then upregulates respiration to increase the rate of CO2 exhalation, which brings the pH back to neutral.

Yep but only slightly. around 10% of CO2 is transported in the blood as carbonic acid, but most of it is transported in the plasma as sodium bicarbonate and potassium bicarbonate. The remaining 10% or so, is transported bound to haemoglobin.