Steve Mattox tells us on a blog entry on MSDN.com more about this feature of Microsoft Exchange 2003 and Windows Mobile 2003.
"One of the new features in Exchange 2003 is Exchange ActiveSync. Exchange ActiveSync allows you to synchronize your Windows Mobile 2003 Device with your Exchange mailbox over a wireless network without having to cradle the device. The Up-to-date (UTD) feature notifies the device if there is a new item in the Exchange mailbox and the device will automatically initiate a synchronization with you mailbox. This feature gives the user an always on and always current feeling. The other benefits of this feature are better device resource utilization, a more consistent user experience when compared to device expectancies and this operation is done in the background without the device turning itself on."
To know what happens on each component, and how this is handled on your mobile devices, read the blog entry on MSDN.