What needs to be checked whenever "Send Exchange Mail Message" activity throws an error: "Exception message: The request failed. The underlying connection was closed: An unexpected error occurred on a send"?
Check if this is happening with many file type but also if it happens when trying to attach small files (1-2 kb). Usually this error occurs because the Exchange Server has some limitations set for file size, file type etc.
Check with the local IT team, whether there are any blockings/ limitations set up on the server and remove them.