Okay, DPM 2007 installed fine on Windows Server 2008 (after performing some IIS modifications, see previous post). Installing the backup agents on the servers I wanted to backup went fine, too.
Very simple, when using Local Continuous Replication on Exchange 2007, you have to set a registry key:
Under HKLMSoftwareMicrosoftExchangeReplayParameters create a DWORD named EnableVssWriter and assign the value 0. It is described here. After restarting the Microsoft Exchange Replication Service the storage group appeared in DPM:
I could re-enable LCR and then both worked fine, DPM and LCR.