Native Exchange Email app does not synchronize folders properly
I know you were going for the "onboard" solution for Exchange e-mail, but at my workplace a bunch of folks use Touchdown:

http://www.appbrain.com/app/exchange-by-touchdown-key/com.nitrodesk.touchdownpro

Only problem is that is is $19.99. It works well with ActiveSync policies and doesn't force you to encrypt your whole device if your SysAdmin has required as such.