I think you are misunderstanding how Exchange works.
If you have an account in Exchange with multiple email addresses on it, then Exchange treats everything but the primary as an alias, for INBOUND email only. If you reply to the emails then it will go out as the primary email address only - you cannot pick
and choose the address. The header will also be corrected to match your primary account.
If a user sends the email to all of your domains on the same email, then Exchange is intelligent enough to only give you a single copy of the email, you will not get a copy of email for each address.
If you have multiple domains and want to control the email flow then the best way is to have multiple accounts.
Create the additional accounts as normal, then grant your primary Windows account Send As and Full Mailbox Access. Finally convert the accounts to Shared Mailboxes unless you want to access them on a mobile device.
Add each account as an additional Account in Outlook and you will get notifications for each account, can set individual signatures and rules and be able to manage the Sent Items separately as well.
Simon.