Exchange has nothing to do with the host name used. You can use anything you like.
The PTR record needs to resolve. Therefore if you have gateway.example.com setup to point to your Exchange server, then that is what you would set as the PTR record. You would also set it on the SMTP virtual server.
However, can you not relay email out through the antispam server? That will ensure that you can put the restrictions in place that they require and not have problems with servers that call back to ensure you are an SMTP server.
Simon.