You have to check your sync settings. Your phone usually downloads a certain ammount of e-mail text and then deletes the rest, depending on the sync period you set. This means that your messages always reside in the server and the phone only has a local copy of a few messages to avoid cluttering. However, the default Exchange behavior is to have an exact replica of your Inbox in every device; this means that whatever you do in one device you're doing directly to the server copy (which is why it also goes away from your computer unless you copied your messages locally first). I'm not sure if there's an option to avoid this in the Exchange Server settings