You would need a lot of granularity - wipe business emails but not personal ones, wipe documents that were mentioned your employer, but not your CV, business calls/contacts but not personal ones to workmates?
The question is whether an Exchange wipe should wipe stuff that isn't managed by Exchange (mail / calendar / contacts). That seems like a reasonable level of granularity.
OTOH, a corporation really does want to wipe the whole thing if it's lost, which is why the Exchange level wipe works this way. It's listed as a business feature: http://www.apple.com/iphone/business/integration/
