Spotlight not indexing attachments of exchange Mail
Spotlight is now indexing the attachments :-). What I did is the following. (Not sure if it will solve anybody else his problems but you never know) 

I wanted to know if the issue was Exchange specific so I made a new gmail account and sent an email with an attachment to that account. That attachment got indexed. I opened the attachment and then saw that it was located somewhere deep down in ~/Library/Mail. I then also checked if Attachments were really downloaded by the exchange client by looking for *.pptx files by running 

find . -name "*.pptx"

in ~/Library/Mail. When I used spotlight after that I all of a sudden could find all attachments in email. So I guess adding the gmail account to mail triggered spotlight somehow