So the exim user has write access …, the directories are sgid <group>.
So, any file created in this directory should be owned by the creator
and the group <group>.

Correct, just as I imagined. In other words, the file uid must be equal to the uid of the creator process and the gid equal to gid of the parent directory, because of his setgid bit.

If Exim doesn't run as a privileged user, Exim can't create files owned
by anybody else then the exim user and the group, owning the directory.

So, I'd expect to just work. Can you show us the permissions of files
in new/, right after Exim created it?

drwxrws--- 5 exim 65536 4096 Ago 23 22:06 .
drwxrwx--- 3 exim root  4096 Ago 23 18:12 ..
drwxrws--- 2 exim 65536 4096 Ago 23 18:13 cur
drwxrws--- 2 exim 65536 4096 Ago 25 20:04 new
drwxrws--- 2 exim 65536 4096 Ago 25 20:04 tmp

-rw-rw---- 1 exim exim  777 Ago 25 19:47 1472165275.H150650P22153.gnu
-rw-rw---- 1 exim exim  780 Ago 25 20:04 1472166260.H478116P22558.gnu

I expected:

-rw-rw---- 1 exim 65536  777 Ago 25 19:47 1472165275.H150650P22153.gnu
-rw-rw---- 1 exim 65536  780 Ago 25 20:04 1472166260.H478116P22558.gnu

--
    Ednardo Lobo

    www.lobo.eti.br

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