I set up a SME 5.6 and delegate all email to a GroupWise email server. It runs Spamassassin and ClamAV. It works great. We are going to upgrade it this summer to get the latest and greatest spamassassin, but it works fine the way it is right now.
We took the implementation slow. We had a domain that we don't use that often for email and routed it through the SME for a while to see if worked first. Since it was a success, we started routing all email through it.
I see no reason why it shouldn't work with Exchange. That being said, I have never even looked at an Exchange server.