I doubt that they can actually see the content of your phone, however an exchange administrator is able to remotely wipe your device at any moment.
This is usually done in case of a critical security risk coming from your device, which can also be the phone being lost.
They can also turn off phone functions such as bluetooth, web browser, camera, etc..
Please see this answer which shows what an exchange administrator can do on your device remotely:
Microsoft email servers "require remote control of Android device security features"
By the way you have to accept this policy when you add your exchange account to your smartphone's email client.
As a personal advice, I recommend you next time to use the web access if your company allows it. In that case you would just login to a web portal (Outlook Web Access = OWA) with your company credentials and they will have no access to your phone whatsoever.
It has not the same functionalities as having the mailbox on an actual client, but for just sending an email for being late you shall be fine.