The latest version of iPhone firmware does support client certificates...
I think there is some confusion about what a server certificate will do... All the server certificate will do is identify active sync as being a trusted source to the phone.
Before you removethe certificate you will ahve choosen to trust it on the iPhone, this tells the iPhone that anything coming from your CA is trustable, (your CA is then added the trsuted root of the phone. When you are removing the certificate active sync must be falling back on to one that has the same root, therefore the iPhone trusts it straight.
Main idea: A server certificate is identification of the server not the client, when you remove any certificate from active sync it will fall back to another one to identify itself, in thsio case this is still trusted by the iPhone. That said even if it wasn't then trsuted all you would ahve to do is click "Accept" once and that cert root would become trusted...
I hope I am making sense...