I had the same issue& here's the work-around:
Now , i don't use exchange, so I am not sure if this is possible for you, but what I was go to the left hand side of Outlook, where you see "My Calendars".
1. create new a new calendar for similar things (ex: Birthdays & Anniversaries). Follow this step so that you have a few different calendars, all corresponding to your colored categories.
2. Go up to "View" & change the view to "category". Now drag & drop the categories that the color coded categories correspond to the NEW calendars.
3. the new calendars may not correspond color wise, but at least they will be differentiated enough for you to decipher on your iPhone calendar.
check out this link for help using multiple calendars in Outlook:
http://office.microsoft.com/training/training.aspx?AssetID=RC102063801033&pid=CR 100654581033