I assume that you have created a smtp connector on Exchange server, to forward all mails going to Internet, to go through Symantec Messaging Gateway (SMG). But you are not seeing any mail traffic on SMG?
On the Web console of SMG, go to [Status]->[SMTP]->[Message Audit Logs] page..
Within the Message Audit Logs page, try setting filter for 'Recipient' with filter value of '@', specify appropriate Time rage and click [Display Filtered] button.
Do you see any logs displayed by it?
If you see any logs, drill down into each log and see what is happening.
If you don't get any output, then you may have incorrect smtp connector setting on Exchange.
Hope this helps.
Haro