I’ve been asked this one a couple of times from customers now so thought it would be worth clarifying. First of all, how do you see Lync client configuration information
A standard right click on the Lync tray icon will give you this menu
but, if you hold ctrl and right click you will get an additional configuration information option
Click it and you will get all kinds of useful configuration information. In this case, Lync is working perfectly, including conversation history and visual voicemail. We can see MAPI and EWS status are ok, so why does it say UCS Connection State Exchange connection down?
UCS stands for Unified Contact Store which according to that link allowed you to store your contact list on exchange, but the feature was dropped from Lync 2010 RTM. So it won’t show as connected and you don’t need to worry about it.
Hope that helps.