Is Microsoft Exchange 2016 supported?
Yes it is, supported. All Exchange versions are. You need to turn on IMAP/POP3 protocols to receive emails:
Enable and configure IMAP on an Exchange server
Enable and configure POP3 on an Exchange server
Here you can find more helpful Exchange 2016 links.
...and many Mail.dll samples showing how to receive emails here:
VAT: PL 5213195875
02-707, Warsaw Poland