I wrote:
Given your empirical observation that inbound mail to mailman-loop was bouncing, that raises the subsidiary question of how it _ought_ to be directed. Sending it to root/postmaster via /etc/aliases of course ensures that it goes somewhere, but is it where it _should_ go? I'm really not sure. Maybe you should ask the Mailman and/or Exim experts.
Recommendation here is an /etc/aliases entry to an mbox file... https://mail.python.org/pipermail/mailman-users/2010-May/069502.html ... _but_ poster seconds your comments that Debian's default Exim configuration doesn't allow delivery to files in /etc/aliases -- which I guess on reflection is true. I don't make entries deliver to _files_, but rather to other users, which is to say, processing the mail back through the mail chain and its LDA (procmail).
So, commenter Roger Lynn says that the real solution is to add the correct Exim4 router + transport to /var/lib/mailman/bin/postfix-to-mailman.py for handling mail-loop, and he opened a bug requesting someone do that.
https://bugs.debian.org/cgi-bin/bugreport.cgi?bug=562700
Except -- haha! -- in the end Roger Lynn said 'Screw it' and just did mail-loop: root ...in /etc/aliases.