If you simply want to forward mail to your exchange box then no problem using the domain forwarding feature in SM4. If you intend to have those messages "scrubbed" of spam using SM's built in anti-spam features *no dice* as it stands today.
We are testing SM as a smtp gateway for Exchange *using* SM's built in anti-spam features right now as well. There are limitations related to the built in anti-spam controls and currently at this time SM recommends using third party anti-spam for your smtp gateway domains. I don't have official word, but would presume the lack of spam controls on forwarded domains is b/c SM doesn't have user CFG's for the forwarded domains to decide how to handle the spam actions.
I really need to use the built in anti-spam features for my smtp gateway customers and our own domain, so what it looks like is this (we have been running for a couple of weeks just fine):
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Have a SM domain with all your users. Be sure to not use aliases - one user account per address (your exchange box should handle aliases via distribution groups).
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Do not use the domain forwarding feature in SM
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Create a recipient policy on your Exchange box to accept mail not only from your Internet domain, but also for a 2nd domain name that isn't published in DNS (for example we use "forwarded.[your email domain].com"
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On your SM server in windows\system32\drivers\etc\hosts add a host entry that includes a pointer to forwarded.[your domain].com. Technically you could use DNS, but this way is a little more subtle (the idea is your exchange box really doesn't have an external presence - all mail comes in from SM).
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In each of your mailboxes in SM forward the message to user@forwarded.[your domain].com. Do not delete the message! (see why below)
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Use a folder clean-up feature to clean up these SM boxes so they don't fill up your server
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Your choices for anti-spam actions are alter the subject line and delete the message (do not use send to JunkMail folder - a copy of the spam message will get forwarded down with this option)
I have an open ticket with SM regarding the oddities of spam message header info for forwarded emails in particular. I think it's important that the email header include the spam detail line, and for some reasons this info is not written in the email header on forwarded messages if you choose to delete the message (kind of odd because forwarded messages will have the subject line altered if that's the action you choose, and the subject line is part of the email header too). SM is looking into this - hopefully they can confirm the behavior that I have documented for them.
If SM would write the X-SmarterMail-Spam: header on all forwarded mails that would really help. If this was the case I would just delete the messages after forwarding.
Steve