Ah, you mean storage. And you're dating yourself with the "mainframe" term, bud.
Either way, if you're connecting to an Exchange server at work, that server will most certainly will be the best place to store your folders and email, which means you should probably not be using POP3 to connect to it. At the very least, IMAP4, but ideally Outlook Anywhere.
If you store locally with a PST, that just stays local to the NAS you linked to. I would not recommend using Cached Exchange Mode and storing your OST over a WAN connection though... Leave the primary storage duty to the Exchange server and have your OST files local to the PCs you're using. Hopefully the admin is backing up the Exchange database anyway, or has a pair of Exchange servers in a DAG at least.