poochie,
I had much of the same frustration. Here is a helpful tip,
before installing the exchange agent, make sure that you are logged into the exchange server under the exchange service username and password. Then configure the exchange agent. Also remember to use the same username and password for connecting to that server in the job setup for security.
This will ensure that you do not have an incomplete/failure for that part of your JOB.
thanks,
howie