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

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.