Check out this new document hot off the press. Previously, Cached Exchange Mode was not supported on Remote Desktop Session Host servers. With the release of Outlook 2010, Cached Exchange Mode is now supported. See the document to find out more about the storage footprint, performance impact, and networked storage impact for Cached Exchange Mode with RD Session Host.
Is cached mode for Outlook 2010 supported on a Windows Server 2003 R2 platform using TS, or is it an "Outlook 2010 running on Windows Server 2008 R2" only feature?
Outlook 2010 Cached Exchange Mode works with Exchange 2003 onward.
Outlook 2010 System Requirements shows that Server 2003 is supported.
Hope that helps.