You can install procmail as the local mail delivery agent and use "recipes" to forward mail to another account based on characteristics of the message. However you would need to determine a method to deliver messages marked as spam to a local mailbox rather than forwarding them to the Exchange servers since procmail operates on messages as they are delivered.
I use MailScanner to filter spam. It has the ability I describe where spams it identifies can be routed to a separate mailbox rather than delivered to the recipient. I don't know whether your mail system can be configured to do that.
If you can figure out a way to deliver the spam locally, say to the spam@localhost account, then you could create a .procmailrc in the /home/spam directory like this:
That forwards any mail arriving at this account and addressed to someone at domain1.com to the email@example.com mailbox. You can add similar recipes for the other domains.