I have two (separate) Exchange accounts setup on my phone. On the lock screen, I only get notifications for one email account. I tested this by sending a test email to one account, checked the lock screen, saw the notification, unlocked the phone, live tile updated, went to account and deleted the email. At this point the lock screen is cleared. Locked the phone, sent email to other Exchange account - on checking lock screen there is no notification for the second account.