[exim] "No local mail" enables local mail

For some time I have been trying to configure a 4.80 server on Debian to
use a Smarhost to relay all messages and keep none of them.

The server itself basically located at say, mydomain.com and hosts a
website. The mail is hosted on a different machine at mail.mydomain.com.
Because the server self-identifies as mydomain.com, it keeps trying to send
to recepients@??? locally, even though using `dpkg-reconfigure
exim4-config`, I explicitly selected the option "mail sent by smarthost; no
local mail".
I don't really know or care who maintains the scripts for that, but when I
choose that option, it enables local mail! The exact thing that I tell it
not to do!
Eventually I edited the configuration manually to disable all other
delivery drivers or make them match no addresses, and make that one match
everything, but things like this are why everyone hates configuring mail
servers.

Just so you know, I am well aware from experience that Postfix is an even
worse nightmare to set-up.