Running your own mail server certainly has advantages. But, it is typically more than just Exim. You'll need to install something for IMAP access. Or, if you want web mail, something for that. And, even if not right away, eventually, something to deal with spam...it will come soon enough. Also, those pieces tend to require other pieces (backing database engines, etc).

Similarly, you have to read up on things like domainkeys, spf, IPV6, MX records, PTR records, firewalls, etc...then implement them.