The email should not say "From" the bounce address. The "From" address can be set on the List Settings page for each list. The bounce address should be hidden in your email client and only seen in the headers of the message, ie:
Return-path: <bounce@site.com>
^ This is your "bounce to address" from the Config page, probably the first line in the headers of the email.
From: "My Newsletter" <replies@site.com>
^ This is your "Send From" email for each list, showing up in the main message header (a guess might be, say, line 10).
To test the bounce script, send a message to the bounce address (The one connected to bounce.cgi) with the subject TESTBOUNCE. After that, it's a matter of making sure the Return-path: is correct with both SMTP (list mailings) and PHP mail() (welcome/confirmation messages)
Regards