How can I enable the exit modal?

In order to enable the exit modal, make sure you're connector extension is updated to the latest version, and go into your settings in the Magento Backend > MageMail > Advanced Settings > Enable Exit Modal:

If you want to modify/translate any of the content related to the exit modal, you can do that under the MageMail Content section:

By default the newsletter integration hooks up to the Magento newsletter subscribers. So if you already have that configured to sync over to Mailchimp, for example, then you shouldn't need to do any additional customization there.