iPhone 11 with Exchange accounts does not have the "Never" option under "Auto-Lock"
I logged into my AWS WorkMail dashboard and noticed that there is a "Mobile policies" menu item.

When I chose this, one of the policy options was "Enable screen lock" with a value of 300 seconds - or 5 minutes, co-incidentally the maximum value in the iPhone's Auto-Lock drop-down.

After I disabled this and cycled the exchange accounts on the iPhone, the "Never" option re-appeared.