Not sure about other Android versions, but my 2.2 warned me about this when I set up my Exchange account. It also warns me about this every time it first connects to Exchange after a reboot.

Not much I can do about it. I more or less trust my IT guys not to be dicks so I don't lose any sleep over it. But short of carrying two phones, there's no way for me to separate personal and work devices. I do keep a nandroid backup on my personal netbook though.