What Mail client are you using to get to MS Exchange ? Could be the behavior of the client is not as optimized as MS Outlook is on Exchange.

Also could be settings for the mail client ... as far as it trying to "cache" an offline copy of past emails and email folders from exchange. If you've got a lot of folders and old emails stored ... and have the marked to be cached for "offline" access this could take a long time to "sync" up ... and would use data until that happens (in this case use WiFi or wired access until that point or disable the "offline caching mode"

Definitely check out Tummy's recommendations ... and What Cordelli mentioned regarding Lil Snitch ... which will give you more details and control ... or if you want a simple network monitor as far as Bandwidth in/out per interface ... try something like iStat Menus

Overall the behavior should be the same ... after you system has 'settled in' ... regarding both platforms ... in other words ... I suspect similiar behavior would happen if it was a brand new Windows OS laptop instead of an OSX one.

BTW -- are you using OSX versions of your software ... or are you using something like Parallel's or VMWare or VirtualBox to run Windows OS

Best of luck