I thought I read in some exim doc that exim doesn't filter.
It doesn't exactly filter, more like sort. Exim is a mail transport
agent, and can transport your mail to wherever you specify, according to
a given set of rules (set up in ~/.forward). Procmail is a mail
delivery agent, and is more robust. It can call external programs, lock
the mailspool while a piece of mail is being run through the external
program to avoid corruption, etc. It depends on your needs - if you
have many sorting needs, and want to filter your mail through a variety
of programs, procmail may suit you better. If your needs are simple,
exim can handle it. It's a case of There's More Than One Way To Do
It(TM).