When I first implented DNSBLs in the exim.conf file I thought this out very careful. At the time general best practices was to block only after acl_check_recipient so as not to tell the spammer whether the problem was the sender or recipient. I suppose you could block earlier, but I don't because there are lots of other reasons you could block, reasons which are less resource intensive than even a DNS lookup. For example, you may be using a blocklist which will charge you based on how many lookups you do.
But yes, you should be able to put it into acl_connect if you wish.
Jeff