I have a lot of emails in
/var/spool/sa-exim/SApermreject. Can I remove these emails or will this lead to some kind of nasty spam problem? Or is this just a history of all the emails that were never received by anyone?
They are just saved copies of incoming mails that have reached your specified permreject score. You can safely delete these. If you don't want to save them, see the setting SApermrejectSavCond in your sa-exim.conf.