Set local_from_check to false in the main section of your config. That will keep Exim from adding a Sender: header. If you want to be able to specify your own Sender: headers, then set local_sender_retain to true.
If you set untrusted_set_sender then your mail-client can specify the envelope sender (which on delivery is often placed into a new Return-Path: header) too.
If your client is not specifying a sender and you want Exim to fake it up for you, then you probably want to have the Router which sends outbound mail set the errors_to option which will rewrite the SMTP envelope sender for you. That's trickier to get right, so see if the others, and client config, are enough for you.
You don't mention which mail-client you're using.