I'm pretty sure that the iPhone asks you if you want to keep a local copy of your contacts & calendars when you remove an Exchange account, so you may have hit "No" on accident.
Gone were all my contacts and calendering data, including birthdays.
I had to export my stuff to CSV and massage it in local Outlook and do some reverse-and-double-wipe sync stuff through iTunes.
It was horrible and I refuse to buy another iDevice ever again.
This kind of behaviour is probably something businesses like. Info on company servers stays on the servers.
This isn't an "iDevice" issue, it's a data ownership issue.