Same problem I've been having for weeks. Finally gave up and configured it as imap instead. Hopefully that solves it.
The problem when doing this is that under exchange, all sent items get put into "Sent Messages" on the server but it shows up as the "Sent" mailbox. Under imap, it's "Sent Items" that I found in my on server list of messages. Just needed to copy them into the proper mailbox and all is well. Of course, all the IOS devices had to be changed too or the sent mailboxes there would be all messed up as well.
This is just really nuts. I don't understand why this is so hard for Apple to get right. This rendition of Mail.app with exchange is really a disaster and a half. Had me looking for other mail clients as well.
J.