Normally you register the VDP client as part of the agent install. I believe you put the client in the wrong domain. It should be in /clients/VDPApps not /client/serverdnsname. I'd reinstall using the registration process documented in the VDP admin guide.
Thank you for your answer RyanJMN,
maybe there was a little misunderstanding: SERVERDNSNAME is an masked name for my Exchange server name and VDPDNSNAME is for my VDP appliance name.
I have to add news to this thread: IMO the cause of the problem could be the different AD membership of VDP service account and VMwareVDPBackupUser account using GLR functionality (reading EMC Avamar guide I found some additional conf to do for Exchange servers in child domains); so I uninstalled the client and reinstalled without GLR plug-in and now I can browse the Exchange server in the "New backup job" wizard, also drilling down the list of mail databases.
I will deploy a VDP Appliance in the same domain than the Exchange server to test if GLR plug-in works.