It depends on what kind of data you want to pull from the Exchange host.
As far as I remember, the TA for Exchange contains some scripted inputs - generally those you cannot run without installing the UF on the Exchange server (I suppose _maybe_ for some of them if you bent over backwards you could try to launch them remotely via something like Invoke-Command but it will require customisation of the existing add-on and further maintenance will be on you.
If you want events from EventLog, you can use WEF (I've had some relatively successful installations running WEF and UF on the WEF collector; they might have some performance problems at some point but up to that point they run quite well).
If you want contents of the log files... you can share them over the network but it can backfire. Firstly, the UF on the remote computer (which would access those events over the network) would have to run under a domain account and have permission to access those exported logs. That might be tricky if you normally don't run UF from a domain account but is a relatively normal task for a typical domain admin. The second problem, which might bite you in your behind at some point is that since Exchange produces a lot of logs (by default one log per hour if I remember correctly) and doesn't delete the old ones, the number of logs which Splunk has to keep track of grows quickly. And checking status of remote logs has much much higher latency than local operations. So restarting such UF which monitors Exchange logs over the network might lead - in border cases - to several hours of pause in logs ingestion. I had a customer who precisely because of this problem copied files from exchange server to another server by means of a script and then UF would pick them up from that destination server.
So while you can try to ingest the logs from Exchange without using the UF, the method with installing UF locally on the machine is the most convenient and best performing one.
