Managing MS Exchange server-side email rules on Mac OS X?

To the best of my knowledge, changing server-side rules from pure OSX is not possible. When our Mac users request this at work, we help them through setting up the rules in a full Outlook client. Microsoft hasn't exposed these APIs to non-MAPI clients, and as you've already discovered the non-IE OWA doesn't have this support either.

The IE OWA version can do rules (at least in Exchange 2007 and higher), but even that functionality is somewhat reduced. But Server-side rules (folder sorting and the like) are able to be created.

Since this question was first asked, Microsoft have released Office 2011 service pack 1.

The editing of server-side rules is supported in Outlook 2011 SP1 when used with Exchange 2010, SP1 (and later). See:

http://www.officeformachelp.com/2011/04/microsoft-releases-office-2011-for-mac-sp1-14-1-0-update/

I can confirm that this works (I use this set-up at work).