Wiping a personal device to "send a message" is passive-aggressive and totally destructive to morale.
People don't do good work when their employer is mean to them, regardless of what they signed. What is your "destroying potentially confidential data" is their "leaving to improve your competitor's product while you spend nine months trying to find a replacement".
Balance is the key.
It's a personal device - the company has no rights to it.
The only issue at hand is whether a phone should be more explicit in telling you doing this will hand IT complete control of the device.
Should you be told that this is the policy? Of course. But what's the rest of the complaint here?
I have a problem with them, having on their screen a message saying "User X connected an unapproved device to Exchange", choosing to clicking "wipe", knowing they might destroy my personal stuff, instead of writing an e-mail telling me to get off the Exchange within 24 hours, and don't ever do it again, or face a remote wipe.
Seems to me how it should work is that the device's user defines a PIN number for his device. Should the device be lost, the user could provide the IT guys with that PIN number, which would be required for the "remote nuke" feature to be used.
Suppose the user is a remote employee who's just been sacked -- the boss and IT are hundreds of miles away and can't just take the phone from him. That phone has some product-related emails on it that, if they were to get out, would tank the company's stock price. They have to be able to wipe that data without waiting for the user to hand over the key.