A couple of housekeeping things:
First, the title of your question is false; there exist chain complexes which are exact but not split. For instance, one can check that if $R=\mathbb{Z}$, then the complex of $R$-modules
$$
\cdots\xrightarrow{\cdot2}\mathbb{Z}/4\xrightarrow{\cdot2}\mathbb{Z}/4\xrightarrow{\cdot2}\mathbb{Z}/4\xrightarrow{\cdot2}\cdots
$$
is exact, but not split. I believe based on the body of your question, you are asking the following:
A chain complex $(C_{\bullet},d)$ is split and exact if and only if $\mathrm{id}_{C_{\bullet}}$ is null homotopic; i.e., there exist maps $s_{n}:C_{n}\to C_{n+1}$ such that $\mathrm{id}_{C_{\bullet}}=ds+sd$.
Feel free to correct me if this is not the case.
Second, you ask "This proves that $C_{\bullet}$ is acyclic, but how can I prove that it is also exact?" but that is what acyclic means: a chain complex $C_{\bullet}$ is acyclic if it is exact as a sequence.
Now, let us prove the claim. Your proof that "the identity is null homotopic $\Rightarrow$ $C_{\bullet}$ is split and exact" is good! Again, note that you are done because you've shown $C_{\bullet}$ is acyclic.
For the other direction, there's no need to necessarily do a monic-epic factorization, though I believe it's roughly in the spirit of what follows. Instead, assume that $C_{\bullet}$ is split and exact. We need to show that there exists $s:C_{n}\to C_{n+1}$ such that $ds+sd=\mathrm{id}$. As $C$ is split and exact, we claim that this implies $C_{n}\cong B_{n}\oplus B_{n-1}$ where $B_{n}=\mathrm{im}(d_{n+1})\subseteq C_{n}$ are the boundaries. (In fact, this is a complete characterization; $C_{n}\cong B_{n}\oplus B_{n-1}$ if and only if $C_{\bullet}$ is split and exact.)
To see this claim, assume that $C_{\bullet}$ is split. Write $Z_{n}=\ker(d_{n})\subseteq C_{n}$ for the cycles and $B_{n}\subseteq C_{n}$ for the boundaries. We have the short exact sequences
$$
0\to Z_{n}\to C_{n}\xrightarrow{d}B_{n-1}\to0
$$
and
$$
0\to B_{n}\xrightarrow{\partial}Z_{n}\to Z_{n}/B_{n}\to0.
$$
Since $C_{\bullet}$ is split, there exists $s_{n}:C_{n}\to C_{n+1}$ such that $d=dsd$. Focusing on the first short exact sequence, since $B_{n-1}\subseteq C_{n-1}$, we have a map $\left.s_{n-1}\right\rvert_{B_{n-1}}:B_{n-1}\to C_{n}$. As $d_{n}s_{n-1}d_{n}=d_{n}$ by split-i-tude, we see that $d_{n}\left.s_{n-1}\right\rvert_{B_{n-1}}d_{n}=d_{n}$. As $d_{n}$ is surjective onto $B_{n-1}$, we get $d_{n}\left.s_{n-1}\right\rvert_{B_{n-1}}=\mathrm{id}_{B_{n-1}}$. Thus, invoking the splitting lemma, $C_{n}\cong Z_{n}\oplus B_{n-1}$.
Now focusing on the second short exact sequence, we're again going to use the splitting lemma once we've constructed a map $Z_{n}\to B_{n}$ that composes with $\partial$ to be $\mathrm{id}_{B_{n}}$. We will define the map $Z_{n}\to B_{n}$ to be
$$
Z_{n}\subseteq C_{n}\xrightarrow{s_{n}}C_{n+1}\xrightarrow{d_{n+1}}B_{n}.
$$
Thus, again by the splitting lemma, $Z_{n}\cong B_{n}\oplus Z_{n}/B_{n}$.
Finally, since $C_{\bullet}$ is split and exact,
$$
B_{n}=\mathrm{im}(d_{n})=\ker(d_{n+1})=Z_{n}\cong B_{n}\oplus Z_{n}/B_{n},
$$
so $Z_{n}/B_{n}=0$ (alternatively, $Z_{n}/B_{n}=H_{n}(C_{\bullet})$ and exact means $H_{n}(C_{\bullet})=0$), and therefore
$$
C_{n}\cong B_{n}\oplus B_{n-1},
$$
as claimed.
Now, how will we use this claim? Observe that if $C_{n}\cong B_{n}\oplus B_{n-1}=\mathrm{im}(d_{n+1})\oplus\mathrm{im}(d_{n})$, then $d:C_{n}\to C_{n-1}$ is projection onto the $\mathrm{im}(d_{n})$ factor followed by inclusion into the second coordinate; that is,
$$
d(x,y)=(0,x).
$$
We may define $s(x,y)=(y,0)$ and observe that
$$
(ds+sd)(x,y)=ds(x,y)+sd(x,y)=d(y,0)+s(0,x)=(0,y)+(x,0)=(x,y)=\mathrm{id}(x,y),
$$
so the identity is null homotopic, as we wished to show.