in the Auto-Archive, you can not point to anything other then a local file.. Is there a way to point to the Exchange Archives Database ?
Nope. The Exchange-side Personal Archive mailboxes and the Outlook-side Auto-archiving are two separate beasts.
Auto-archiving is meant to archive mail to a PST file, where as Personal Archives on the Exchange server are a secondary mailbox on the server for the user to archive mail in.
If you set the users and the personal archive folders up properly then the users should already have access to their archive mailbox in Outlook. Auto-archive is not used with those; instead you set server-side "retention policies" that move mail into the archive mailboxes following your organization's retention rules.
I'd suggest you peruse this MS document: Understanding Personal Archives, as it contains all the information you're going to need to know. :)