I want to use MMDF-style mailboxes. How can I get Exim to append the ctrl-A characters that separate indvidual emails?

Set the message_suffix option in the appendfile transport. In fact, for MMDF mailboxes you need a prefix as well as a suffix to get it working right, so your transport should contain these settings:

message_prefix = "\1\1\1\1\n"
message_suffix = "\1\1\1\1\n"

Also, you need to change the check_string and escape_string settings so that the escaping happens for lines in the message that happen to begin with the MMDF prefix or suffix string, rather than From > (the default):

check_string  = "\1\1\1\1\n"
escape_string = "\1\1\1\1 \n"

Adding a space to the line is sufficient to prevent it being taken as a separator.