Read receipts do function in Exim apparently, and those are working on my server. It's delivery receipts that aren't supposed to work, and don't for me, at least according to the Exim FAQ page where I found this info. Here's the Q&A:
Q0607: When I activate “return receipt” for example in Netscape Mailbox sending options, then I get an error message from Exim... something like not supported. Can I activate delivery confirmations?
A0607: Exim does not support any kind of delivery notification.
(1) You can configure it to recognize headers such as Return-receipt-to: if you wish.
(2) Some people want MSN (message status notification). Such services are implemented in MUAs, and don't impact on the MTA at all.
(3) I investigated the RFCs which describe the DSN (delivery status notification) system. However, I was unable to specify any sensible way of actually doing anything with the data. There were comments on the mailing list at the time; many people, including me, conclude that DSN is in practice unworkable. The killer problem is with forwarding and aliasing. Do you propagate the DSN data with the generated addresses? Do you send back a “reached end of the DSN world” or “expanded” message? Do you do this differently for different kinds of aliasing/forwarding? For a user who has a .forward file with a single address in, this might seem easy - just propagate the data. But what if there are several forwardings? If you propagate the DSN data, the sender may get back several DSN messages - and should the sender really know about the detail of the receiver's forwarding arrangements? There isn't really any way to distinguish between a .forward file that is forwarding and one that is a mini mailing list. And so on, and so on. There are so many questions that don't have obvious answers.