Your SME will need to be configured to send ONLY the domain used by the Exchange Server to the Exchange server.
If you have configured email pass-thru using server-manager, or using 
config set DelegateMailServer internal.exch.host, then *all* email will be sent to the exchange server, for every domain on the SME.
You need to setup forwarding for only the domains handled by the Exchange box using 
db domains setprop test.com MailServer a.b.c.d
signal-event email-updateThen you need to have general email forwarding 
disabled.
See more at 
http://wiki.contribs.org/Email#Internal_Mail_ServersHere are the settings on a SME spam filter I manage, for comparison.
* 
DelegateMailServer is empty
* 
domain1.local and 
errors.local allow delivery to mailboxes on the SME server
* All other domains forward email to the internal mail server at 192.168.6.16
config show DelegateMailServer
DelegateMailServer=
db domains show | egrep 'MailServer|domain'
domain1.local=domain
domain1.org=domain
    MailServer=192.168.6.16
dietandcancerreport.org=domain
    MailServer=192.168.6.16
errors.local=domain
domain3.fr=domain
    MailServer=192.168.6.16
domain2-ca.org=domain
    MailServer=192.168.6.16
domain2-ch.org=domain
    MailServer=192.168.6.16
domain2-cn.org=domain
    MailServer=192.168.6.16
domain2-de.org=domain
    MailServer=192.168.6.16