To setup the Exchange mailbox, use the following steps;
After a few moments, your account will be added and you should arrive back to the Mail Accounts screen and you will see the new Exchange account under the Accounts heading
Now you can open your Mail.app and you will see your messages start to appears after a period of time for the device to synchronise with the server.
Generally, on a good connection with at least 100mbps download speed, it may take up to 30 minutes the synchronise most of the messages.