You don't need to run Exchange yourself, there are services on the Internet that do that for you. So you sign up for one of those, have it grab mail from the accounts you want, and then that syncs to your phone. It ends up aggregating your mail at the Exchange service for you. You can do the same thing with GMail or Yahoo where they'll log in to other mail services and collect all your mail. Then use either IMAP or POP to sync to your windows mobile device.

That's got a pretty significant advantage for you personally - you don't need to leave a personal computer running to sync with. I personally never understood why folks liked the "Sync to my Outlook" apps because it means your home computer can't be off and it has to run the software you're mentioning. My phone syncs to an Exchange server for work, GMail, and two other mail accounts and I don't have to leave a computer on. If I gave up on the Exchange server, I'd switch to syncing contacts with GMail using an Outlook connector app or one of the services that's running around to do that.

It's not all that hard to replicate what you're doing without the additional application is all I'm saying. You just need to look for the right mail service and/or add-on to make it work. There's literally no need for that 10MB app on your machine, but since "it's easy" the carriers provide them to reduce churn.