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Well, “eating my e-mail” is a bit of an overstatement, but I had a problem earlier whereby all of my e-mail was being removed from the Exchange Server and copied to Entourage’s local folders (thereby making it inaccessible from other mail clients – e.g. Outlook Web Access). I found a fix to the problem – deleting my mailing list rules from the Mailing List Manager. Not ideal, but something to watch out for.
Incidentally, whilst I was trying to find an answer to my issue (I didn’t find anything online, only an old newsgroup post from someone with a similar, unresolved, problem – in the end it was just process of elimination) I stumbled across a very useful MacTech article about Entourage and Mail with an Exchange Server.