Son Full Time Student with Campus Job and No Tax Taken Out

Yes, if you are filing a tax return for him, all income from all sources included all W-2's need to be included on one return.

No, there is not an exemption for work study.  it is likely that the amount he was making was under the threshold for having taxes withheld.  If he was paid less than $14,600 in the year he would not need to file a return, so if his weekly pay would come out to less than that, then they would not have withheld taxes unless when he filled out his W-4 he would have indicated that they should withhold more.  

If not having taxes withheld causes him to owe, you will just need to make the payment when filing the return or set up a payment plan or you can choose to file now and then pay later.  TurboTax will give you all the options for paying a tax due. 

For the city, if they did not take out taxes, you would still file it normal, including all income on one return, and then you may have to send a check in with his return to pay what was not paid if he has an amount due. 

Q. One job was on campus and that W-2 shows they did not take out Federal Tax.  Do I file this W-2 normal?

A.  Yes.  Campus jobs are usually  exempt from FICA (social security & medicare) tax. so boxes 4 & 6 being blank is correct.  Box 2 (federal income tax withholding) is also not unusual, but tax will be assessed at tax filing, if the student has enough total income. 

Q.  Do I just file that W-2 in his residence city, like normal, and they will take tax?

A. Yes.  

You don't say what state and cities are involved.  If is unusual that workplace city tax was not withheld. But, residence city tax is still due and it all come out even (the residence city gives a credit for tax paid to the work city).