Is there a way to know when a message which our mailserver sent out is reported as spam? I'd like to know, so I can remove them from our distribution list.
No, there is not an easy way to get data from downstream like you want to do. Sometimes this data is sent upstream, but not to you. Some mail clients give feedback to some clearing houses about spam emails, and you end up using the data because it factors into the various spam filtering options that you have, but there is no one-to-one way to handle this from your downstream users.
You should share your mail setup with us so we can suggest more specific solutions.
Speaking loosely, what you can do is utilize any anti-spam package ( I can't think of one that can't do this) and mark/report (but don't block) mail. You can then look in your report afterwards and see what was marked and take action. Alternately, you can just block the mail when it comes in from a user and before it is sent to the distribution list.
That's the general strategy. Implementation (what package? configuration?) needs more detail from you.