I've been thinking about finding the cycles to whip out a utility that would take a local_part on the command line; and return success or failure to indicate whether it is deliverable. It would work by starting an LMTP session and issuing a RCPT; then RSET and QUIT after getting the response to the RCPT. Having to spawn a task to do that is a bit ugly; but I don't think Exim has a way to do it internally. (Or at least not directly. I might be able to do something with the built-in perl lib...)
Exim 4.20 has (almost) what is needed to do this now. It can already do SMTP callouts to verify recipients. It can also LMTP callouts, as long you aren't using LMTP AUTH for delivery to Cyrus. I am using LMTP AUTH so I don't have to add special permissions to folders for direct subfolder delivery, but if you aren't, and are using LMTP over TCP/IP for delivery to Cyrus, then all you need is a "verify = recipient" clause in one of your ACLs, and Exim will make the callout for you. Exim also caches callout results, so it won't make repeated callouts for the same addresses more often than you specify.