on exchange you need to set up the pop3- (for every email-account on your plesk-server that should recieve emails over exchange from outside of your lan) and smtp-connectors (tell him that it should send over your plesk-server, not over dns)
then put your local-inet-ip in the whitelist of your plesk-server
for this to work you need a static IP at your local-inet-connection - it seem's that plesk does not accept any dyndns-entries or something like this.
I found no way to tell exchange that it should use the pop3-user/password for authorization while sending. therefore the emails are marked as from servername.yourlocaldomain.local - not from yourwebserver.tld
but thats no problem if you told exchange the real (plesk) email adress of each user