I had originally been using a Windows PC with my iPhone. I then bought a Mac and decided I wanted to use it with my phone from now on. Doing this was a breeze, it let me simply merge everything I currently had on the phone with what I already had on the Mac so I didn't lose anything. It loaded all my contacts to my address book on my Mac and added all my outlook events to my iCal.
For you it should have added everything to your Outlook, I am wondering if you didn't check all the settings before you sinced in iTunes.
iTunes does back everything up. To verify this, I restored my iPhone on Tuesday meaning, I had iTunes, erase everything and the reset the phone to factory specs. It then reactivated my phone and asked me if I wanted to use my last backup for my phone, I selected that and all my contacts and SMS and calander events were back on my phone.