Hello Ravi,
if I understand you correctly, you have enabled sender authentication on your Exchange server for all incomming messages? In this case, you need to configure autgoing authentication on the ESA with a username and password for the Exchange server. The setting can be found under:
GUI: Network->SMTP Authentication
Choose to add a new profile, and make it "Outgoing", then provide the username and password the Exchange server was set up to accept incoming messages. Once submitted, also create an SMTP route for that Exchange server, where you specify the outgoing authentication profile. The user guide has a nice step by step tutorial for that, check the online help of the appliance for "Configuring AsyncOS for SMTP Authentication"
Hope that helps,
Andreas