I had this problem initially, and had copies of emails that would appear in my Exchange account. If I deleted the original, it would delete the copy. If I deleted the copy, I couldn't delete the original. Instead I got an error telling me I couldn't move this email. I had three emails sitting in my mailbox for 3 months, wondering how I was going to get rid of them. It's important to note that these emails only showed within my mailbox on my MacPro at work. My iMac at home, or my iPod Touch would only show the current emails.
I have not had duplicates since the 10.6.2 update, so that my have fixed the initial problem, but it did not clear out the duplicates that were already there. But I finally found a way to get rid of them. I went to ~/Library/Mail/<mailbox for Exchange mail>/Inbox.ewsmbox/Messages/ and previewed all the mail to find the duplicates, and deleted them. Then I launched Mail, and clicked on the duplicates, and they disappeared. Of course, I kept my mailbox pretty clean up to this point, so I didn't have a lot of emails to go through. But at least it worked.
I hope this helps.