Solved it! If you want to use a standard XLR cables you can do that. The only thing you have to do is opening one of the XLR plugs - only on one cable, and switch the cores between pin 2 and pin 3.
If you want to make you own cables, you only need a standard RCA cable with 2 cores and 4 standard XLR plugs (2 male, and 2 female).
At the HAL end you connect the cores to pin 1 (gnd.) and 2 (right) at one cable, and pin 1 (gnd.) and 3 (left) on what becomes the left cable. At the EXON end of the cables you connect the cores to pin 1 and 2 on BOTH cables! as the EXONS only used pin 1 and 2...
Why REGA chose to take perfectly standardized XLR cables and twist them that way, instead of using standard RCA plugs and cables I don't know. Perhaps they saw this as an opportunity to sell their own "proprietary" cables? ;-)
The only benefit I see, is that you can Quad-amp and connect a subwoofer to the HAL, because it actually has both right and left channel in both outputs.