[Exim] Callbacks and bounces (exim v3)

I'm confused about the interaction of callbacks with bounces that are
directed to us.

Yesterday it appears to me that aol.com were trying to send bounces
to us, but we were refusing them on the grounds that there was no
valid sender in the header lines.

We had callbacks enabled for aol.com, and I find if I try manually
reproducing the effect of a callback to them I get

...
rcpt to:<MAILER-DAEMON@???>
550 MAILBOX NOT FOUND

Any comments to help me understand what's going on, please? Should
exim be verifying the sender of bounces via callback? Ought the other
partner to refuse such a callback?

(This is tied up with a collateral spam incident, but dealing with
that is out of our hands really..)