I know that with Exchange you would need to open thousands of ports for MAPI communication. MAPI uses a random port when being used so you essentially turn the firewall separating the DMZ and your network into swiss cheese and vulnerable, defeating the purpose of the DMZ in the first place.
I had a customer that placed their DR BES in the DMZ and when the production BES went down their backup didn't work because MAPI couldn't communicate. After I explained why the network admin didn't like the router in the DMZ idea and said w=he would continue to fix the firewall and didn't think that opening thousands of ports for random communication was a security risk.
When you place the Router in the DMZ the BES will communicate with it using 1 port versus thousands.
Here is the info on the setup and reasons why it's not supported: BlackBerry Search Results
I know that GroupWise works differently and all you need to condigure is Access Control Lists I think. BUt if you're in an Exchange environment it's nothing but issues and headaches.