For Exchange accounts, there is a default account level "messages to sync" setting and it's 21 days, this takes priority over app level setting.
And due to the nature of Exchange specific sync algorithms, the initial sync can take some time, if the folder has a lot of messages (say, 10's of thousands).
The app is not downloading all messages, rather it's getting to a "baseline" state from which it then can sync "incrementally" (very quickly and efficiently).