How does Ed Exley hear what's said outside the interview room?

Well, I don't have proof for this and haven't thought as much about it as you did. I always just took it as a lucky guess and a nice fitting scene, even if not perfectly realistic. You're right in that he couldn't hear it, I think.

Exley surely knows that the DA/police/government don't want to tell the truth to the people, regarding the involvement of pretty important policemen into criminal affairs. So he's pretty sure that they are about to come up with some strange alibi story about Cpt. Smith dying as a hero or something similar. But well, his perfect timed reaction was really just luck, I guess.

The reason why it was included? Well, of course Exley is aware of the dark corners of the police and the politics, but I don't think it is exactly to show his sharp instincts, though it may be. I wouldn't wonder that much about such a small gimmick scene and just take it as part knowledge/instincts and part luck. Maybe it could also partly demonsrate his ambition to become a big thing in the LA police when his first reaction is to try and gain some personal advantage out of this story.

I think it is more than a lucky guess, and Exley is definitely not able to hear their conversation. The moment is his final step in learning to play the system efficiently. He knows how interrogations work and who is likely to be listening in. He knows what has happened and, being the cleverest among the characters, the optimal resolution.

The moment is imbued with a bit of movie magic as well, which helps deliver a final punch for our man against crime.

If you recall at the beginning of the film where Exley is introduced, he has a conversation with Captain Smith. They are discussing Exley's finishing first in the Lieutenant's test. When asked what section of the police department he (Exley) would like to join, Exley states he wants to be in the detective squad. This is followed by a comment by Dudley Smith stating Exley is a smart political animal but not cut out to be a detective because he cannot answer yes to the questions of bending the law to obtain convictions.

This is the first piece of the puzzle.

After the Bloody Christmas scene all the characters that were involved in beating the Mexicans were interviewed. When Exley was questioned, he came up with the idea of pinning this on some detectives that have their pensions vested and thus forcing them to retire would not be a hardship. This showed he thinks in a political manner and sees a way to protect the department from scrutiny, yet leaving an impression that the department deals harshly with its own when they transgress. It reinforces Smith's assessment of the strength of Exley.

This is the second part or foreshadow in Exley's ability to determine the best path for his career.

So at the end, Exley tells the tale of what truly happened, knowing that each accusation is burying the department deeper and deeper in the mire of corruption. However, he understands both men who are witnessing the interview have played ball in protecting the department at his suggestion.

He also would know that since this is a HUGE deal for the police department, that both of these men would be watching the interview. One might assume he saw them and for expediency they left that out. But in any event, he was speaking to them and not the interviewer when he gave the details of the case.

So using his skills to recognize an opportunity, and realizing that Captain Smith's death would warrant a big deal by the department, it would be logical that they would make Smith the hero.

The comment about it requiring two heroes was a negotiating ploy by Exley to keep quiet.

He does not hear it nor does not he guess it. He knows that they are going to say that.

In the beginning of the movie the Crooked Captain says to him that he has the brains but he is not cut for a job of a detective. The film is about his becoming of being "cut for the job". In this moment he has seen the way of Jack and Bud and learned from them. And in the end he is shown to have learned from them but still being himself. In the beginning he sells his fellow cops. This time he saves them. He knows the business now.

As per IMDB L.A. Confidential FAQ:

During his previous interrogation of the three negroes arrested in the Nite Owl killings, Exley showed his mastery of using the room's intercom system by flipping the switches under the table, so that they each could hear selective audio of themselves implicating each other. The intercom system also worked both ways, to and from the outside, as shown when the Police Chief asked Exley, "What was he was smiling at?" The D.A. and Chief started talking about the "Scandal", and a "Hero" after the other detectives left Exley alone in the room, where he could have easily just flipped the intercom switches with his foot to listen in. In short... Exley heard every word they said.

That was my favorite part of the movie. The detectives knew the situation could rip apart the LA police department and bring about investigations that could end up sending them to prison for their various crimes. But they didn't know how corrupt Captain Smith was.

I loved the way the detectives were crowded around the window, transfixed on every word Exley was saying as Exley calmly and methodically narrates his story.

To me, it was obvious that Exley somehow heard the suggestion that Captain Smith could be considered a hero. This was the pivot point of Exley's career, when it seems he has achieved almost supernatural powers in the minds of the detectives. He moves from enemy of the department to its hero. It also solved his problem because otherwise he would be charged with murder.

It hadn't occurred to me that he might have manipulated the intercom switches. I'll have to watch for that if I ever see the movie again.

This is set up earlier in the scene where Exley gets the LAPD out of the situation of beating the mexicans when he suggets blaming the officers nearing their pensions.

The film is trying to show you that Exley knows how the system works and uses it to his advantage. He knows they dont want this scenario leaked to the public and he knows they are more than likely sitting on the other side of the glass discussing that and watching him. So he uses the scenario to get himself out of killing the captain and clearing the LAPD at the same time.

Pretty obvious.