The other reason to use the Connect Agent for backup is what it does to the
Exchange database. If you shut down Exchange, and then do an "off-line"
backup of the Exchange files, then you just get a dump of the bits. These
can be used to do a restore, but yuou never quite know until Exchange starts
up whether the bits will be in the right order or not.

When you use the Connect Agent, then it uses a Microsoft API that reads
every page of the database through the database structure. This therefore
checks the integrity of the database every time you do a backup (any errors
it encounters will be shown in the NT Event Log). You also do not need to
shut the database down in order to take a backup.

The Connect agent is also used to keep the Exchange transaction log files in
order. Every change to the Exchange database (message created, read, sent
etc.) is recorded in the transaction logs. This means that if you restore
the database, and re-play the log files, then you can get back to the point
of the crash, rather than loosing messages between the last backup and the
point of the crash. The Connect Agent ensures that the log files are deleted
when they are no longer needed (i.e. when the transactions in the log files
have been backed up). Similarly it correctly handles database changes that
happen while the backup is going on.

If you want to know more, take a look at the Exchange Disaster Recovery
white paper somewhere on Microsoft.com/Exchange or on Technet.

Cheers, Chris