I'm relatively new to SPF, but have read quite a bit and I'm still confused. I have two mail relays that are the MX servers for a domain. These servers receive mail for the domain then forward on to an internal Exchange server. This Exchange server is the only server that strictly sends mail for the domain that is not reject or bounce or otherwise undeliverable messages. Do the relay servers still need SPF records in this case, or just the Exchange server since it is the only one sending mail "From:" my domain?
So SPF records are defined on a domain, not a server, so I think your question is 'Do the relay servers need directives in the SPF record for my domain?'. Assuming the relay servers never make outbound SMTP connections to receiver email servers, then the answer is no. In that case you only need to include the Exchange server.
SPF is about defining a rule set for the list of IP addresses that are allowed to connect to a receiving mail server and deliver email via SMTP. It is evaluated from the perspective of the receiving server, so only those IP addresses that connect directly to the receiving server need to be included in the SPF rule.