I installed unofficial CM 12 with Android 5.0.2 today. Earlier I was using stock Android Lollipop and it had the option of adding Microsoft Exchange account. Unfortunately CM12 didn't seem to have it.
After doing some research I figured out that only devices running stock Android 5.0+ are capable of having exchange accounts. And CM12 although runs on Android 5.0, doesn't have this feature. On doing further research I found out that Android 5.0+ have something called Exchange services which enables gmail 5.0 to handle exchange accounts.
Then, install and restart your device. Walah! Gmail will be able to add exchange accounts!
Note: This method is not just for CM