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I have domains in the Exceptions list set to be whitelisted(skipping all checks) but are still being marked as spam and bouncing because of RBL black listing. However if I whitelist individual addresses it works. The problem with this is we communicate with 100's of people from some domains. We are using a XG310 on SFOS 17.1.2 MR-2. We were told that this patch(17.1) would address the domain white listing issues.
Did you already open a Case with Sophos Support?
I think you need to double check the Log files in case of such issues. Maybe the exception does not match because the sender is using a other address in envelope-from. This is a common mistake.