I would suggest trying several things:
1) Bring up a CMD line and attempt to Telnet to the IP using port 25. See if your mail server or relay responds. If it does;
2) Download Wireshark and run a capture while you're letting the alerts flow through (no test). See if the Exchange server is rejecting the messages for some reason.
3) Find and download a SMTP Relay (tons of 'em on the web) - put it on a basic server and point Orion at that box. See if the alerts go out at that point.
Let us know.
Had the same problem at a client this week. The "Time of Day" field was set "from 12:00AM to 12:00AM". I changed it to "from 12:00AM to 11:59PM" and the alerts started working. hope that helps.