You went too far. There are two places you can set this.
From the screen in your screenshot, hit the back button and look for:
Sync Contacts (on/off)
Sync Calendar (on/off)
Sync Task (on/off)
Sync Messages (on/off) <- this should be off
Or, go back to my earlier post - I'll clarify:
Home -> Appe button (lower right) -> Settings (the gear icon) -> Accounts (orange icons) -> Microsoft Exchange Activesync and see if "Sync Messages" is an option there and turned on. If so, try turning it off. I shoul note that messages isn't an option there for me because it's already off in the screen above. Between those two places you should be able to turn it off. Hope that helps!