Well, I'm running 9.3, and I never saw that message, or any other warnings about Exchange connections, while I had my phone connected to work email.

Is all this stuff only a concern when the device is enrolled via MDM? That seems improbable; the (several) sources I've found on the subject don't mention MDM in any context, but just warn that Exchange connection = remote wipe capability. Similarly, while I had my phone connected via Exchange, I visited the devices page in Outlook Web Access and saw that the "Wipe" option was enabled for the device.