Applied the patch to my Exim (compiled manually) and made the changes to the headers_remove.

In the morning I saw the following on my server, which runs a couple of lists on Mailman:

2015-02-18 04:07:34 SMTP connection from [74.125.82.169] I=[64.8.165.102]:25 (TCP/IP connection count = 1)

2015-02-18 04:07:44 H=mail-we0-f169.google.com [74.125.82.169] I=[64.8.165.102]:25 X=TLSv1.2:AES128-GCM-SHA256:128 F=<CENSORED> temporarily rejected RCPT <kictanet@lists.kictanet.or.ke>: mailman_router router failed to expand "${if eq{${lookup{SpamHeaderType}lsearch{/etc/exim/exim4u_global_spam_virus}}}{0}{X-Spam-Score:X-Spam-Report:X-Spam-Flag:X-Spam-Score-Integer}}": missing } at end of string

And I made the following change to my mailman_router:

headers_remove = ${if eq{SPAMHEADERTYPE}{0}{X-Spam-Score::X-Spam-Report::X-Spam-Flag::X-Spam-Score-Integer}}

Please confirm that this is correct, because AFAIC, it solved my problem.