You can install the plugins on the same machine hosting your exchange solution. It's a good complement for Sophos security, which scans the traffic before it reaches your mail service. Kaspersky is on the mail server itself while Sophos handles the incoming traffic. With both of them working together, we have the perfect solution for mail.
The biggest problem in the solution is related to its license renewal since it is pretty hard in Kaspersky to find out the procedure to renew a license.
It would be great if Kaspersky could do what Sophos does for us. However, we love having these two different technologies doing the same thing. Sometimes Sophos has the patch to block a novel threat, but Kaspersky doesn't.