I think you have created a mail loop! Setting the Exchange server as the "internal" or delegate mail server in the SME configuration makes it pass all emails to the Exchange server. Since you've set the Exchange server to pass all SMTP traffic to the SME server, voila, around and around go the emails.
What are you trying to do? If you are trying to have the SME server preprocess the email for spam & viruses before sending them to the Exchange server, I would set your Exchange server to use your ISP's SMTP server when it is sending email, and I would further set your Exchange server as the SME Server's SMTP smarthost. That way, if the SME Server sends an administrative alert to an external email address, it will send it to the Exchange server which will relay it to your ISP's SMTP server.