Please clarify – is your “SMTP server” the SMTP component of Exchange, or is it a separate product either on the same physical box or on a different server?
It depends on your software implementation, but if memory serves me correctly, the SMTP standard does not make allowances for message saving. In theory, it should just be passing messages from the upstream host to the next downstream SMTP host, in order to route the message properly.
In other words, if your SMTP service is a standalone product, you’re likely out of luck. Someone please check me, I may be wrong.