Is this file-level anti-virus or Exchange Aware anti-virus?
If Exchange aware, its up to you if you want to install it on the MBX servers as well. Every message goes through the hub transports, however anti-virus on the MBX servers may help prevent other avenues of attack ( Pst imports/Other clients etc...)
If this is file-level anti-virus, ensure you have the correct exclusions in place:
http://technet.microsoft.com/en-us/library/bb332342.aspx
File-Level Antivirus Scanning on Exchange 2010