[exim] greylisting on second mx?

Am I right in think if you implement grey listing you need to do it on
all your mx to get the desired affect?
I did a test run on my test server and some ( not all only small
percentage ) mail once temporarily rejected would slip through from my
secondary mx.
This is just some thing I am looking into at the moment and may not use
at all but I thought it was worth a look

Thanks.

Terry