I'm not sure this is possible, since this is how Exchange is designed to work.
The problem you have is that you have (for example)
acme-widgets.com defined in Exchange as a domain it is authoritative for, therefore it accepts all mail for
acme-widgets.com and delivers it locally if the address exists (and bounces it otherwise). There's no point sending an email to another SMTP server for it to be sent straight back.
If you were to send all your mail to an external SMTP provider, you'd create a bit of a paradox which would go something like this.
- Receive mail and send to external SMTP server
- External SMTP server does its thing and sends the message to your email server
- Go to step 1
Infinite routing loop, anyone?