Is there a way to make Thunderbird connect to an exchange server using their native protocol. I've seen posts about using IMAP, POP3, OWA (DavMail), but all these options are not available to me. Only the native exchange protocol.
No, not yet. The Exchange proprietary protocol has not been implemented in open source yet, although at least one implementation is being worked on and is supposedly nearing completion here
DavMail is what you want. It connects with an Exchange server, and then provides access via POP, IMAP, or SMTP among other protocols. You can then access your email in Thunderbird through these protocols.
ExQuilla was a proprietary plugin for Thunderbird to help it connect with Exchange servers, but it appears to be unmaintained since May 2018, and doesn't work with more recent versions of Thunderbird.