I'm running Exchange 2010 with SP1 with rollup 5 I think. So pretty up to date. Putting on Flags works fine for both the Lion Mail app and the iOS5 mail app.
I, like you, would like to see a smart folder for Flagged mails on the iphone, initially only the mails synced with the phone, but like any search an option at the bottom to search on server to see all flagged messages in the mailbox (There may be flagged items in other mailbox folders!!)
The only problem I'm having right now is that it seems as if I cannot remove the flags in the Lion Mail app if the flag was put on by the phone!! I select the clear flag option, it looks like it's been removed and the smart folder counter goes down by one, but if I do get mail (Sync) the flag returns.
The flag for the 2 mail's I'm having problems with do not show on the iphone anymore so it looks like the lion mail app has done something but now they are not showing any more I cannot use the phone to remove them. I've also tried adding the flag back on with the iphone, which works, and I can remove it again, which works. The Lion mail app through all this shows the flag as on all the time.
Removing the flags in outlook still doesn't work. However Outlook and Iphone now do not show the flag on, only the Lion Mail app does!!
All very annoying!!