In no particular order, we suggest:

• There's no integration with billing and provisioning systems. So you end up building your own system instead of using a shrink-wrapped package.
• It's complicated to understand and requires a lot of administrator training.
• It takes lots of time and is expensive to administer. For systems with over 10,000 users, we estimate an average of five support staff, plus one support person per additional 5,000 to 10,000 mailboxes. For 1 million users, that's 100 to 200 people.
• Service providers have 24/7 operations, and it's hard to do backups online. Exchange 2007 has improvements in this regard, but still uses a monolithic database file as the message store. This file grows very large and needs special third-party tools (e.g., from Veritas and Computer Associates) to do backup. This adds additional cost and complexity.
• Exchange consumes a lot of resources. So you need pricey high-end 64-bit machines as servers, costing around $10,000 instead of $2,000.
• It's generally a challenge to deliver 99.999% uptime with Exchange.
• Small businesses want to be able to have their own domains (e.g., they want their own right-hand-side of the @ sign in email addresses). Exchange wasn't designed for multi-tenant operations, and implementing this is hard to do with E2007.

... David Ferris, with thanks to Rockliffe's John Davies