Does cPanel/WHM support SPF ?

SPF is compiled in Exim, but not enabled by default. You can enable it by using the Advanced Exim Configuration Editor and following the instructions available at http://www.exim.org/exim-html-4.50/doc/html/FAQ_7.html#TOC272.

You can access the Advanced Exim Configuration Editor in WHM by going to the Service Configuration section and clicking on Exim Configuration. On the page that appears, click on Advanced Editor.