Your concern is valid but fortunately exchange does not work that way.
From MS tech note: Q178931
Because of the Single Instance Storage feature, one message can belong to many mailboxes. For example, if you send a message to several recipients who reside on the same Exchange Server computer, the message is only stored once in the information store, and the recipients just receive a pointer to the message. If one recipient deletes the message from his or her mailbox, the message is not deleted from the information store, only the pointer to it. The message itself is not deleted until the last recipient deletes it. This also means that all messages associated with a user may not be removed from the Exchange Server computer when you move the user's mailbox to another Exchange Server computer. The message sent to several recipients will remain on the Exchange Server computer until all recipients of the message have been moved to another Exchange Server computer or they all delete their pointer.