A couple of points here:
1. I don't recall getting my SMS messages to reconcile to my exchange mail box.
2. There is very little if any privacy from the IT infrastructure. That said, having been a Sysadmin for 8 years now. I really don't want to know what you are SMS'ing, emailing or anything. I have far too much to do to snoop messages about your dates and private life.
However, you do risk having everything seized. Company property and resources misused and abused is a bad thing - you can be fired, legally. Counterpoint, I think there was a court case recently that prevented an employer from snooping private emails. So, you aren't safe, but you are protected.
Systems Psychologist, Network Sociologist, User Therapist.