How to set HTC Desire HD Android 2.2.1 to save new contacts to Exchange? With Samsung Galaxy S 2.2.1 it's super easy: Contacts > Menu > More > Settings > Save new contacts to...
But with HTC Desire HD 2.2.1?
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According to the manual of your phone, you can't set a default save location, but on page 49, it's mentioned that if you use "People", you are prompted to select the desired location for the new contact:
Select the "Contact type", for example Google or Microsoft Exchange ActiveSync.
This determines which account the contact will sync with. For more information, see “Ways of getting contacts into your phone” in this chapter.
In the Name field, enter the first and last name of the contact, then tap OK.
Enter the contact information in the fields provided.
Press "BACK" if you want to close the onscreen keyboard first and easily scroll through the other fields.
You might be able to use an automating app like IFTTT or automateit, etc to tell your phone to take any contact you save to the phone and copy it to Exchange. I haven't found IFTTT to be that good for anything other than automatic social sharing but I haven't checked for what you want to do, and there are many others automating apps.