Any way in exim to automatically delete failed messages

A frozen message is a message that cannot delivered nor bounced. You should not see many frozen messages, and besides, they should not affect performance at all. Are you running an open relay, by any chance? Otherwise it is probably a configuration issue (Do you accept mail? Do you bounce everything, even spam you (eventually) receive? )

A problem I have seen is that sometime you can get tarpitted, especially if you send "spammy" messages (I guess a newsletter could fit that description). In this case a single message will block the entire queue. How many queue runners do you use? You can try increase their number and see what happens. If you get tarpitted, do you have SPF and DKIM set up? They may help in this case.

Large mailing-lists tend to be managed with Mailing List Managers, such as "mailman". One of the advantages of these is that they include bounce processors, so that they can unsubscribe recipients for you.

You're basically trying to implement more and more of the MLM functionality inside the MTA. You're going to keep hitting issues, so it's better to just accept the need to setup an MLM.

That said, the redirect Router which expands your mailing-list can take an errors_to option and you can set that to point to an address which you'll handle as an accept Router that passes the message to an external tool which manages the list of recipients.