I would guess you would need Outlook as an intermediary for the first-time sync...
As in, stop syncing with Exchange (and let it delete the associated data from the iPhone), (using iTunes) sync calendar with Outlook (that's pulling down the Exchange calendar -- make sure it combines all the events), and then delete the iPhone's calendar when you sync it with Exchange (which has all the iPhone events you synced earlier with Outlook).
Does that make sense?
Current GSM Phones on AT&T:
Nokia 6310i, Nokia 3390b, Nokia 5190, Nokia 3650, Ericsson T68m, Motorola P280, Nokia 6340i, Motorola V600, Motorola V66, Nokia 6200, Nokia 6010 (x2), Nokia 6620, Motorola V635, Nokia 6230b, Motorola V551, Motorola V3 (x5), LG G4015 (x2), Motorola V180, HTC Wizard, Motorola L7, Nokia 6101, Samsung V205, Samsung E315, HTC Kaiser, Motorola V3xx, Samsung i607 (given to a friend), Nokia 6555b, Apple iPhone 3G 8GB (wife & mom), HTC Raphael, Nokia E71-2
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