I was expected to solve the problems at the board. They didn't necessarily expect me to solve them immediately, but they wanted to hear me think out loud and communicate my ideas. There were around 5-10 questions total over the course of I think a few hours, ranging in complexity from trivia (i.e. memorized facts) to computations to proofs. Some of them I found solutions for and some of them I didn't, and they assigned me some to solve later as "homework" (though they did pass me without it being conditioned on the homework).
In hindsight, it was very similar to white-board coding interviews, but I didn't know anything about coding interviews at the time. I can't really think of any other place such a format would be appropriate as a math exam. When else would a paper math exam not be sufficient.