Hi,
I've been having the exact same issue with attachments not showing up when connecting to Exchange 2007, as has a friend of mine. In some messages the attachments don't appear at all, in others only one is missing but others are visible, and in others still all attachments show up fine. It's pretty random, as far as I can tell. The problem was not there when we were using Exchange 2003. As Dan posted, all attachments appear properly when the mailbox is viewed through OWA, on the iphone, or any other IMAP client I've tried, both desktop and mobile. So, it's definitely some weird bug with Apple Mail.