Have you configured the protocol you want to monitor? See page 16 of this guide
http://www.solarwinds.com/documentation/Orion/docs/SolarWindsPacketAnalysisSensorDeploymentGuide.pdf
Also, you need to define the server that supports Exchange as a managed node in Orion.
The recap table on page 6 might help you checking that you have performed the right steps.
To recap:
- Deploy a Server Sensor on the application server
- Configure this application server has a managed node in Orion
- Define what traffic you want to analyze (from the list of all supported protocols)