I've got the same issue - new MBA with a transferred account that was upgraded to Lion 10.7.1. I took a look in the console and saw these "interesting" messages when I try to create and sync the exchange account. Is anyone else getting these? are they a clue?
31/08/2011 16:00:13.450 [0x0-0xdbfdbf].com.apple.mail: launchctl: Couldn't stat("/Users/...me.../Library/LaunchAgents/com.apple.AddressBook.ScheduledSync. ABExchangeSource.8BFF382A-F9A9-4AD8-B8EE-3EEE4A124B3E.plist"): No such file or directory
31/08/2011 16:00:13.451 [0x0-0xdbfdbf].com.apple.mail: nothing found to load
31/08/2011 16:00:13.452 [0x0-0xdbfdbf].com.apple.mail: launchctl remove error: No such process
31/08/2011 16:00:13.468 [0x0-0xdbfdbf].com.apple.mail: launchctl remove error: No such process
31/08/2011 16:00:13.482 [0x0-0xdbfdbf].com.apple.mail: launchctl remove error: No such process
31/08/2011 16:00:13.497 [0x0-0xdbfdbf].com.apple.mail: launchctl remove error: No such process
31/08/2011 16:00:13.799 Mail: -[SOAPParser:0x7f85bf058de0 parser:didStartElement:namespaceURI:qualifiedName:attributes:] Type not found in SOAPDocument for html (html)
31/08/2011 16:00:14.079 Mail: -[SOAPParser:0x7f85bfae8a30 parser:didStartElement:namespaceURI:qualifiedName:attributes:] Type not found in SOAPDocument for html (html)
31/08/2011 16:01:08.044 Mail: -[SOAPParser:0x7f85bf254110 parser:didStartElement:namespaceURI:qualifiedName:attributes:] Type not found in SOAPDocument for html (html)
31/08/2011 16:01:08.313 Mail: -[SOAPParser:0x7f85bf1f7420 parser:didStartElement:namespaceURI:qualifiedName:attributes:] Type not found in SOAPDocument for html (html)
31/08/2011 16:01:08.583 Mail: -[SOAPParser:0x7f85bfa27050 parser:didStartElement:namespaceURI:qualifiedName:attributes:] Type not found in SOAPDocument for html (html)