Do i really need a mailserver
 

Hi!
Do i need a mailserver to send email generated from PHP etc?

well it needs to send it somewhere, and running a built in MTA is the simplest way by a long shot. If you don't want a full blown SMTP server, try something very cut down like esmtp, ssmtp or bsmtp which are purely there to get mail off of a box, not recieve or do much of interest. If you want to do it purely within PHP I think you'd need a package like PEAR.

I connect from my web applications to port 25 on an exchange server and simulate the mail communication. Should be possible to connect to any mailserver.

You can search for telnet exchange; this is the first hit.

NO.

Use PHP mail() and SMTP Authentication.

Php acts like a client , using a smtp server( local or remote) , and optional using credentials user, pass in the specified host.