Quoting Elliot Finley via Exim-users (exim-users@???):
> Anyone know why CONFDIR wouldn't be honored?
I'd advise reading /usr/share/doc/exim4-config/README.Debian.gz and
other /usr/share/doc/exim4*/* documentation files on your system with
regards to the 'split configuration' setup that Debian/Ubuntu brings us.
Another way of dealing with it is moving
/var/lib/exim4/config.autogenerated to /etc/exim4/exim4.conf and manage
the config in that file from then on.