iPhone by default does not sync tasks when using ActiveSync. In fact there is no task application for the iPhone and that is probably why they left the syncing out.

Solution:
Install Toodledo on a desktop that has Outlook and is connected to Exchange mailbox
http://www.toodledo.com/

This syncs tasks via Outlook to the Toodledo cloud. Then there is an iPhone app that also syncs with Toodledo cloud.

There are several iPhone apps that do this, I personally use Pocket Informant as it is probably the best one.

AND I take it even a step further. If you have 2 Exchange accounts, for example one for personal and one for work, you can install Toodledo sync app on both computers and it will sync both tasks list and the result composite tasks list will show up on the iPhone. Most people will never do this, but I have personal tasks and work tasks and this keeps everything in sync.