We also have the need of backing up MS-Exchange Servers with ADSM. There
is a possibility to backup open files by putting them into the
management class "shared" or "shared dynamic", but we're not sure yet
whether this leads to a consistent backup or not.
I've already asked our IBM SE and got the answer that IBM is going to
release (or at least wants to)
the Connect Client for MS-SQL in 1997 (Sept. - Dec.)
and the Agent for Exchange in 1998 (March or April)

Until then we have to use a workaround like dumping the whole database
into a file and saving this file.
Disadvantage of this solution is that you need additional diskspace for
the dump and in effect you do a fullbackup of the Exchangeserver every
day. But fortunately it sounds like IBM are working on the problem.

Greetings from Munich,
Michael Bartl