How to set on the iPhone in which account new contacts should be saved?

Manually

To ensure that the contacts created manually on the iPhone are not saved on the sync.blue® CardDAV server, for example, but rather in the Exchange account that has also been set up, the desired so-called standard account for contacts must be set on the iPhone (Settings -> Apps -> Contacts -> Default account).

Via MDM (e.g. Microsoft Intune)

For example, in order for the existing address book of the personal Exchange account to be set as the default account for contacts, it must first have been set up on the iPhone. This means that the sync.blue® CardDAV account set up later would not become the default account and new contacts would remain in the address book set up first.