Does exim's acl_check_data scans all mails including outgoing or only incoming by default?
Incoming mails. Exim's ACLs are for processing the various stages of the SMTP dialogue for receiving a mail (and some non-SMTP situations too, such as local injection). You can't make it scan outgoing, and that's rather too late to reject a message anyway.
Since the only mails an MTA generates itself are bounces (and for some MTAs some other DSNs), any other mail leaving Exim must have entered Exim, and appropriate control of those avoids/limits bounces too. So you should be able to accomplish whatever you want at incoming time, and reject the message to avoid ever accepting responsibility for it, which means you don't need to create bounces, which leads to backscatter (and so a reduced IP reputation when you try to mail some other providers).