SME does not support split domains the way Exchange does.
There was another thread asking about this last spring; here are my comments on that thread:
http://forums.contribs.org/index.php/topic,46060.msg225263.html#msg225263If you have the hardware, it may be easier to setup two sme servers -- one as firewall that forwards *all* email to the Exchange server, and another to host all of the non-Exchange email accounts. Or, if your SME is already "server-only", then just deliver all email to the Exchange server and configure that to deliver email for unrecognized recipients to the SME server.
Basically, in this configuration, the SME server hosting mailboxes cannot be used as a SPAM filter for the Exchange server: if SME is configured to accept email for your domain it won't forward to Exchange, and if it's configured to forward to Exchange it will keep doing that even when the email is sent back from Exchange to SME.
Beware of email delivery loops - with a split domain the first mail server must accept email addressed to anyone. What happens if the second mail server refuses to accept the message?