Interesting.
I tested by sending an email to my Gmail acct from an Exchange account, and setting the flag urgent. Then I looked at the email in the web interface and from Outlook. In Outlook (getting Gmail) I saw the message flagged urgent. In the Web interface, I saw no urgent indication.
I replied to the message from the web interface and from Outlook. In the web interface, the urgent flag was not shown, and did not make it back to the Exchange account. In Outlook, the reply did not have the urgent flag activated, but when I activated it it was visible back on the Exchange account.
So, to summarize .. the Gmail web interface does not recognize the urgent flag, at least not as implemented by Microsoft Exchange. But the Gmail engine does not lose the header data when it is provided by another client.
As an aside .. I find the urgent flag far more irritation than it is worth. Rarely does "urgent" to you mean that it should be "urgent" to me. When is the last time that you received a message flagged "low priority"?
IMHO it is far better to indicate in the subject and body that the issue is urgent or time-sensitive.
EDIT: Google just added (1-Sept-2010) the "Priority Inbox" functionality and some kind of importance measure. I will redo my tests and update.
You can always setup your account on the POP3 server to auto-forward e-mails to your Gmail account, which will have them show up almost instantly.
If maintaining a proper return address is important to you (Gmail vs. POP3), then you can go to your account settings and specify another account in the "Send Mail As" section that will allow you to use the POP3 return address on those e-mails that have been forwarded.
Best Answer
If your admin has enabled it, you can connect to Exchange as a POP3 server. Otherwise, you have to use Outlook to tell Exchange to forward your mail to a Gmail account. Gmail can't ask Exchange directly using Exchange’s own protocols.