Since OS X Lion it isn't longer possible to change the mail address of a apple mail exchange account through the pref panel.
It works by writing it directly to the .plist:
Close Mail
Go to:
/users/USERNAME/Library/Mail/V2/MailData/accounts.plist
There you can change the address under "EmailAliases".
Save file.
Thats it.
More information:
https://discussions.apple.com/message/17044714#17044714