I was able to reproduce your problem with GNU Mailutil's mail. I did not find a direct answer to your question, but found a solution to your problem. 
I suppose you configured your local MTA (Exim) so that new mail is delivered to $HOME/Maildir/, i.e. your Exim configuration is set to dc_localdelivery='maildir_home'. 
Install heirloom-mailx which provides a replacement of mailx and offers more functionality than GNU Mailutil's version of mailx. Make sure it is the actual provision of mailx in the alternatives config. Usually it is, because heirloom has the highest priority. You can check that like this: 
jb@x60 ~ $ sudo update-alternatives --config mailx
There are 2 choices for the alternative mailx (providing /usr/bin/mailx).
  Selection    Path                     Priority   Status
------------------------------------------------------------
* 0            /usr/bin/heirloom-mailx   60        auto mode
  1            /usr/bin/heirloom-mailx   60        manual mode
  2            /usr/bin/mail.mailutils   30        manual mode
Press enter to keep the current choice[*], or type selection number:
Configure mailx with the environment variable $MAIL. Since this configuration implies that mail is delivered for all users to their respective local Maildir I suppose this is the most elegant way to do this:
x60 ~ # echo 'export MAIL=$HOME/Maildir/' > /etc/profile.d/local_mailx.sh
No need to chmod 755 this file, since it will be sourced by the login shell. However you need to log off and on in order to let environment variable changes take effect. 
Proof of concept:
jb@x60 ~ $ grep dc_localdelivery /etc/exim4/update-exim4.conf.conf
dc_localdelivery='maildir_home'
jb@x60 ~ $ echo $MAIL
/home/jb/Maildir/
jb@x60 ~ $ mail jb
Subject: test 
test
.
EOT
jb@x60 ~ $ mail
Heirloom mailx version 12.5 6/20/10.  Type ? for help.
"/home/jb/Maildir/": 1 message 1 new
>N  1 Jo Bo              Sun Aug 25 14:06   19/489   test
? 1
Message  1:
From jb@x60 Sun Aug 25 14:06:52 2013
Return-path: <jb@x60>
Envelope-to: jb@x60
Delivery-date: Sun, 25 Aug 2013 14:06:52 +0200
Date: Sun, 25 Aug 2013 14:06:52 +0200
To: jb@x60
Subject: test
User-Agent: Heirloom mailx 12.5 6/20/10
Content-Type: text/plain; charset=us-ascii
From: Jo Bo <jb@x60>
Status: R
test
? q
Held 1 message in /home/jb/Maildir/
Problem solved. Question remains: Do you need to stick with GNU Mailutil's mailx? I doubt so. Maybe it is possible to get this done with GNU, but since heirloom offers a superset of functions and you can still use other tools from Mailtutils, I would not bother to invest further research. heirloom is a nice piece of software. YMMV and HTH. 
Have fun!