I cannot find where can I set the mailer-daemon address for bouncy mail, now it is set to Mailer-Daemon@mydomain1.com and I would like to change it to Mailer-Daemon@mydomain2.com, but looking into all exim files I did not find it.
The option you need is dsn_from
:
dsn_from = Mail Delivery System <Mailer-Daemon@$qualify_domain>
See https://www.exim.org/exim-html-current/doc/html/spec_html/ch-main_configuration.html