any one aware of an SMTP Proxy like the exim on UTM9 ?

I like them, basically because its not my responsible anymore to keep them updated and maintained (Someone else does this for me). 
As Emails come from the internet, you do not know, if this email was ever in the cloud in the first place (I think, 90% of all Emails are from the big cloud providers). So a cloud based protection, which forwards the emails to your service, sounds like a good approach to Emails. 

Thats not the point. the point is: where is my data stored and do i have control over the stored data and how it's processed?

Two points about this: Where is your Email Stored after being sent? Sometimes i have the feeling, Email is a one way field: If you email leaves your onpremise, it likely will end up in a cloud solution, and you do not have any information about this in any form. If you would forbid the communication to any cloud based solution, you would have a very "quite" email mailbox. 

To answer this: You find the entire architecture and the framework here: https://www.sophos.com/en-us/trust/sophos-central Additionally Sophos offers a Data processing contract (Customer to Sophos): https://sophoslegal.na1.adobesign.com/public/esignWidget?wid=CBFCIBAA3AAABLblqZhBwgs9bkHmwwHGrd8GIaxgu49FgGxqiKUfH1jNXVI_zOJ7Q9TM_Aqh12ZexGznJl-g* 

Well, i run my own mail and websevers. so i do know where my data is. i can't control the way the data comes to my server, true, but i know where it finaly stays.

after 35 years in the IT business, i also know why this is a good idea.

maybe i am still not the best network guy, but i  got this.

so, i would never trust anyone else then me or people i know in person.

guess why ? read the office 365 eula recently ? No ? you should give that a go.

add another reason as well.

Sophos voted to not offer an on-premise replacement, so they're out of the run.

However the exim config of the UTM may be a good starting point for an inhouse solution.

We have our relay set up mainly based on postfix (and ESET vor the AV part), since ~80% of our mail traffic has both source and destination inhouse. Especially every type of logfile has no reason to leave the house, much of the scan-to-mail part too.