Why wouldn't they support your Exchange installation? Outlook is included as one of the packages which comes with SBS, so there's hardly an argument from them about it not being allowed!
I think the real issue with Outlook on servers is more about using it interactively as a user on the server, since it has various inherant vulnerabilities in relation to running scripts etc automatically when an e-mail is open, therefore it recommended that if you need to open an e-mail account on the server you make sure of the Outlook Web Access functionality instead.
If I were you I'd go ahead and get Outlook installed on the server so you can get the backups of the individual mailbox items configured, and just make sure that if you do ever need to open a mail account yourself on the server, that you do it using Outlook Web Access just to be on the safe side.