Hi Peter,
The issue you refer to happens on devices that don't have any policy set. Since the remote wipe is sent down with/as a policy, if no policy is set, then it prompts for one. The most common is PIN policy which is why you see it ask for a password to be set up (you could define a policy where a PIN wasn't required but you would still get a policy prompt). In Exchange Server 2007 SP1, we introduced a "Default" policy that Admins could set. With a default policy, you will not run into the "prompt for policy" on a wipe as all device that connect will automatically have policies pushed down to them (even if that policy has no PIN requirements in it). It is always a good idea to have some policies applied to all devices that connect to your Exchange Server. Using the Default policy in SP1 will make this simple and the prompt issue experienced by organizations that didn't previously apply policies will become a thing of the past. If you are not on Exchange Server 2007 SP1 I’d recommend upgrading or setting a policy that you apply to all users and this will avoid the situation you are referring to.