I spent last few days talking to Blackberry support.
As of now Exchange UM email attachements in format of WMA are not supported. I saw some postings here that some have it got it to work? I can play the attachments if they are wav files.
Rim has stated below:
The WMA format that comes from Unified Messaging is not currently supported. The only option for playback on a BlackBerry device would be to use the WAV format. This is a feature we may see in a future release of BlackBerry device software.