When we were experimenting with callouts, the email server had rejected messages from two major internet sites, including the domain of a well known datacenter - their support ticketing system was sending messages with an invalid return address. Certainly, it is their fault for being RFC ignorant, but unfortunately this is not uncommon today.
Also keep in mind that some administrators have setup their email servers to reject "RCPT TO:" requests if the envelope sender address is blank. This will result in your callouts being rejected if you are using exim's default configuration. (Again, rejecting blank sender is a violation of RFC).
It is up to you to decide whether you want to noticeably decrease the amount of incoming spam plus contribute to the cause of making the Internet a better (standard compliant) place, or to save yourself from otherwise unavoidable and time-consuming problems.
Technically, unlike with the old argument about RBL usage, the sender's "RFC ignorance" gives you a clear moral right to reject email messages from them.