If there is a VPN client/app running on the device and it's coded properly, the connection would stay active.
However, that's not the scenario that was described.
There is no reason for an iDevice to simply respond to a ping when in sleep mode by default.
If the intent is to test whether the data connection stays alive in sleep mode, install a streaming audio app like Pandora, DI.fm, or similar. Start the audio streaming. Then put the device to sleep.
If it continues streaming, then the issue is not with the device shutting down the data connection in sleep mode.
Has the simple solution to the original problem of deleting and re-adding the Exchange account even been attempted?