I disagree. I dont think the email is going through your exchange server. I belive it is going directly to your gateway (or trying to). Sometimes gateway routers have outbound firewall rules that limit SMTP traffic (port 25) FROM the LAN to only the exchange server (same reason as AV blocking it).
try these commands:
telenet exchangeserver 25
ping ISPsmtpSRV
telnet ISPsmtpSRV 25
Do you get a telnet/ping reply?