Hi @hk852. The answer is yes. If you need to protect on-premises information, you have two possibilities. You can use the AIP Scanner as you may know and as I think you also know based on your question you would need the P2 license to apply automatic classification by content.
However, since you want to protect your on-premises Exchange server you will need to, as you say, set up an RMS Connector. The AIP Scanner is the newer (and better) option, but it works only against file shares and Sharepoint.