1) I find not being able to use AD Groups for "Exchange General" -> "Delivery Options" to be a real hassle. I want for new HR hires to get access to a set of mailboxes by just adding them to a group instead of going to each mailbox and MANUALLY adding them. When you have thousands of users manually doing anything is a problem over time.
2) When a user's mailbox is marked deleted from Exchange, Exchange should then go DELETE ALL SECURITY DELEGATIONS related to the deleted user that are still inside the mailboxes of others. That is just good, responsible housekeeping. Instead I end up chasing and fixing ghost SID's. I was just flabbergasted that Exchange didn't do it for me. This is supposed to be an enterprise product.
3) When our users get over 10,000 calendar entries things start to go whacko. They won't get meeting requests or what not. There should be A) an easier way to delete old calendar entries, B) increased scalability for Outlook / Exchange to handle larger numbers of them. I know it is crazy, but some of our managers actually consider their calendar items as "data" and want to save years of them.
4) A better way to report on mailbox delegations would be nice. We bought a product called Symprex to do it - but I consider it kind of a hack.