pine

[Adam Myrow]

Pine defaults to the same place as all other mail agents.  That is,
wherever your local mail would normally be.  Try sending a message to
yourself and see if Pine finds it.  Then try to read it with the crude
mailx program.  If neither find it, then heaven only knows where it went.
I would think Exim would put mail in the same place as everybody else.
For example, /var/mail/login where login is the user that is to get the
mail.  You can also reconfigure most mail delivery systems to put mail
elsewhere, so maybe you need to check how Exim is set up.