In the Exim configuration editor in WHM 11.4.18 there is an option to reject mail if the sending server is on one of two blacklists (Spamcop and Spamhaus). This is not in 11.4.20.]

Is it supposed to be there.

Rejecting based on spam assassin is not as good. Using RBL's causes a lot of mail to be rejected before it has to be processed by spam assassin thus reducing processor load.