Exchange & VPS email problems

Dear friends, I would like to have in one domain 1 email box on vps and 1email box on exchange. So i have bought vps and exchange account. I have done what is instructed so in mx of vps and srv i entered ex3.mail.ovh.net. and it does not work, so emails going to exchange are delivered but emails going to vps are not and I am not getting any mailerdemon info, and support on ovh told me that in logs it looks like the email was delivered but it is not. SO WTF? Is it possible to have one address in exchange and one address in vps within one domain working? Thank You for Your help.
h.