VERP will send one email, with a separate envelope sender (return path), for each of your subscribers - read the information in $prefix/Mailman/Defaults.py for the options that start with VERP. In a nutshell, all you need to do to enable VERP with Exim is to add these lines to $prefix/Mailman/mm_cfg.py:
VERP_PASSWORD_REMINDERS = Yes VERP_PERSONALIZED_DELIVERIES = Yes VERP_DELIVERY_INTERVAL = Yes VERP_CONFIRMATIONS = Yes
(The director (router) above is smart enough to deal with VERP bounces.)