If your device is set to get the e-mails, it will use the devices internet connection to go directly to yahoo servers. It will not go through the exchange server. Be careful, however. If you ever say, drop the phone, and the screen breaks… they will probably be tasked with getting you a new phone after you turn yours in. You wouldn’t be able to delete all of your e-mail, and they COULD have access to it; though not likely.

I doubt it’s in their best interest to go out of their way to see what everyone is doing on their phones. The IT department has better things to do.