Does cPanel/WHM support RBLs ?
Yes, RBLs can be added in the Advanced Exim Configuration Editor in the WHM interface.
You can access this functionality by logging into WHM, going to the Service Configuration section then clicking on Exim Configuration Editor. On the page that appears, click on the Advanced Editor button.
Note that this is how you should edit your Exim configuration. Editing it manually outside of the WHM interface will likely result in it being overwritten the next time you perform a cPanel/WHM update.