The DPM Team blogged about Exchange Server 2010 DAG protection and DPM where nodes can be protected by different DPM Servers.
I like to draw attention to something that may not be well known and surprise some. You probably are familiar with the 'rule' that all protected hosts within a cluster must be protected by the same DPM server! This is does not apply to Exchange 2010 and is formally documented here: http://technet.microsoft.com/en-us/library/ff399324.aspx.
You still get the warning that all nodes must have a DPM agent installed but can be safely ignored for Exchange 2010. In that context you may also want to take a peek at a related blog on resolving alerts; http://blogs.technet.com/b/dpm/archive/2010/06/04/automatically-resolving-alerts-such-as-resume-ownership.aspx
With other workloads including Exchange 2007 CCR the application store is considered to be shared across nodes in the cluster. DPM protection is not per definition fixed to a single physical node (although recommended for Exchange 2007 CCR). To maintain a single view on recovery points for a data source that from time to time could synchronize data using different nodes, these must belong to the same DPM server.