Here's an idea that you may not have thought of, as an alternate idea to forwarding _all_ your mail to your exchange server.
I have users (myself included) that use a Windows Mobile smartphone or PDA and it is quite an advantage to use that type of device with an Exchange server (ie, push email). If you want to get away from running an exchange server for the benefit of just a few users, one option is to use SME for the majority of your users and use (or recommend) a service like from 4smartphone.net for users that want Exchange. You just forward an individuals email account to something.at.4smartphone.net, but they can still send and receive as if it's coming from your domain name. It costs $4-10/month per user. Probably other comanies offer that type of service too, but I'm familiar with just that one.
If you want to let users set their own forwarding address, install the contrib smeserver-userpanel (I think that's the one??) from dungog.net on SME, people can set their own forwarding address without bothering you.