I have experienced the same problem as Nibble with my Nokia N9.
When creating a new MfE account the sync works. After that the red arrow appears.

Nokia support told me to recreate the MfE account. As above, it works at first but the red arrow always appear the autosync after that or when I manually sync.

I've tried enabling / re-enabling the account, sometimes the sync works and sometimes it doesn't.

I can access the exchange server via the phone browser. So, it seems to me it must be a bug or a setting.

Anyone solved the mystery yet?