Don't confuse IMAP, POP and other protocols with routing of email. That is handled by your server and has nothing to do with DNS. With the exception that you may have a CNAME (alias) of imap.xxx.com or pop.xxx.com setup in DNS; but again this is just a record that says these urls live at this address. Really it's not necessary since Exchange will handle any protocol that you have it set up for no matter what the address is as long as your HOST (not your MX) record is correct in DNS.
If you want your email to go to your Exchange server rather than bluehosts you will have to have DNS control (which I'm sure bluehost offers). You will add an MX record that points to the IP address of your Exchange server. MX = MailExchange (not to be confused with Microsoft Exchange).
Go here (
www.mxtoolbox.com) and point it to your website url (
www.xxx.com) ... it SHOULD show you what your MX records are currently.
So to sum up: MX records are methods for other email servers to find your email server. Clients (Outlook, Entourage, Eudora) don't use MX records ... they use A records (AKA Host records) to find your server.
EDIT --- Sorry ... I edited after you posted the follow-up. Still; this information applies.