I registered here to answer this as you all helped me find a workaround. I was getting this problem on JB (Wanam ROM on N7100). Tried to set up exchange several times and always got stuck on loading screen.
This thread refers to the exchange server needing a PIN lock but failing to prompt for it. I wondered if setting a PIN would mean the check becomes irrelevant.
I was using pattern lock, so I deleted the account, changed my screen lock to a PIN lock, and hey presto, the exchange account setup went through and I can now see email/calendar!