If you are using policies from ePO you will need to create them. There is nothing automatic unfortunately. In terms of VSE on your Exchange Server you will need to exclude the mail store so that the on-access scanner will not interfere with any virus scanning that takes place with your mail application. There are numerous exclusions set by Microsoft for Exchange version you are using. Here is one to get you started. Anti-Virus Software in the Operating System on Exchange Servers: Exchange 2013 Help
Make sure you follow the Microsoft article and create an Exchange Low-Risk policy for VirusScan and apply to your Exchange Server Group, should you have one.