That proxy-mode doesn' t have anything to do with generic FW proxy feature.
This is an option for SSL VPN clients-only running in port forward mode, or proxy mode to provide a middle ground between web mode and tunnel mode.
When you have it enabled, the SSL VPN port forwarding listens on local ports on the user’s computer. When it receives data from a client application, the port forward module encrypts and sends the data to the FortiGate unit, which then forwards the traffic to the application server, to your Xch in your case.
On the user end, the user logs into the FortiGate SSL VPN portal, and selects a port forward bookmark configured for a specific application. The bookmark defines the server address and port as well as which port to listen to on the user’s computer.
The user must configure the application on the PC to point to the local proxy instead of the application server!
The bottom line is that if you want to use it, configure the local proxy in the end user' s PC to forward the traffic to your Exchange server.
If you don' t want to use it than turn it off and the firewall will still proxy the connections.