No, the setting is for IMAP only.
For Exchange it may be a slow connection to the server, or just a slow server. There is something you can try though. It won’t speed up the connection or server, but it will cache attachments when they arrive so when you later click on them, they should open immediately. Go to Menu > Accounts and click on the Exchange tab for the account. Scroll down to Sync Options, tick both of them, and click on Save & Close.