Hi, I am doing the same thing but I have had no problems. I am using Exchange 5.5 however due to the problems with Exchange 2k and multiple email addresses/aliases for single users.
Have you added the domains to exchange server telling it to accept them as inbound? This is on the IMC in Exchange 5.5.
I assume you have 1 public IP address, pointing to your ISA external interface. I have 2 mx records per domain...
the first is a normal MX record,
server mx server.domain.com
The second is a little different,
[same as ...] mx server.domain.com
You create the second one by not inputting anything in the first box on the new Mail host dialogue. This record looks the same as your NS or SOA records in DNS when you view the zone. Those are the only 2 problems I can think of. I assume you ran the secure mail server wizard??