There is no need to mess around with Exchange Server setting. This is just a setting problem on client side, PC and / or phone. The fact that your appointment disappear from the phone indicates that the appointments are synchronized to something at somewhere.
So, for the phone side:
1. Is your Microsoft Account connected to Hotmail (or its reincarnations) address or some other mail address (Gmail etc)?
2. Open the Calendar App, open the ellipsis menu ( ... at the bottom right corner), go to Manage Account.
3. Is your Exchange Account listed on the Accounts?
4. If yes for no 3, tap that Account and pick Manage.
5. Scroll down and tap the manage sync setting.
6. Scroll down and see if the sync for Calendar is on. Turn On if you see it is Off.
7. Hit save and exit.
8. If no 3 is no (unlikely since you can see appointment made from other devices), add your Exchange Account.
9. On Calendar App, tap the hamburger menu on the upper left corner of display. It lists all calendar displayed. Is your Exchange Account listed on the calendar lists?
10. If everything is already alright on steps 1-9, and appointments you made on phone still don't displayed on your Exchange Server, Open the Accounts Settings menu (Start, All Apps, Settings, Accounts, Email and Accounts).
11. Scroll down on the Accounts used by other apps tap Add work or school Accounts. Add your Exchange Account there.
On your PC/desktop/laptop:
1. If you listed your main Microsoft Account is not a Hotmail address, open browser and log-in to your address. See if you could find those missing appointments.
2. If you have any other accounts listed on your phone besides your main Microsoft Account and Exchange Account, login and check with browser and see if those appointments are listed on those accounts.
3. On your desktop mail client, I am guessing you are using Outlook, is the main Microsoft Account connected to desktop Outlook?
Let me know how it works.