Wireless Sync uses sms but it is like you calling #777 for data its a free call. This is totally different then using an MS Exchange server.

If you sync directly with M$ Exchange (which is more secure than wireless sync) you either need to have your phone connect manually or on a schedule or you can have the server use the AUTD (always up to date) which sends a sms to your phone and triggers your phone to start active sync.