Grrr.. another Microsoft making their own rules.
I have a customer with Entourage which stopped working. OWA worked through Safari (note this part...) but Entourage just showed not connected.
They have a web proxy and an exclusion for the Exchange server. But not for Entourage it seems. netstat showed connections to the proxy but it does not work via the proxy. At the same time Safari had connections directly to exchange.
Turned out Entourage checks each search domain and then adds that one before checking the bypass list. So everything else worked with the just the host name in the bypass list but you need the FQDN for Entourage to bypass the proxy..