First, it is easiest to show that ##\nabla_{[e}(\epsilon_{ab]cd}\nabla^{c}\xi^{d}) = 0##. Note that this is equivalent to showing ##\epsilon^{abef}\nabla_{e}(\epsilon_{abcd}\nabla^{c}\xi^{d}) = 0## since this then implies ##\epsilon_{ijkf}\epsilon^{abef}\nabla_{e}(\epsilon_{abcd}\nabla^{c}\xi^{d}) = -6\delta^{[a}_{i}\delta^{b}_{j}\delta^{e]}_{k}\nabla_{e}(\epsilon_{abcd}\nabla^{c}\xi^{d}) = -6\nabla_{[k}(\epsilon_{ij]cd}\nabla^{c}\xi^{d}) = 0## which is what we want. We have that ##\nabla_{e}(\epsilon_{abcd}\nabla^{c}\xi^{d}) = \nabla_{e}(\epsilon^{abef}\epsilon_{abcd}\nabla^{c}\xi^{d}) = -4\nabla_{e}(\delta^{[e}_{c}\delta^{f]}_{d}\nabla^{c}\xi^{d}) = -4\nabla_{e}\nabla^{e}\xi^{f} = 4R^{f}{}{}_{d}\xi^{d} = 0## where I have used the fact that ##\nabla^{c}\xi^{d} = \nabla^{[c}\xi^{d]} ## and that ##R_{ab} = 0## since we are in vacuum. Hence ##\nabla_{[e}(\epsilon_{ab]cd}\nabla^{c}\xi^{d}) = 0##. Now for the annoying part

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Note that by the same argument above, in order to show that the exterior derivative of the 2-form ##\alpha_{ab} = 2\lambda \nabla_{a}\xi_{b} + \omega \epsilon_{abcd}\nabla^{c}\xi^{d}## vanishes, it suffices to show that ##\epsilon^{abef}\nabla_{e}\alpha_{ab} = 0##. Expanding this out, and using the result from the previous paragraph, we get ##\epsilon^{abef}\nabla_{e}\alpha_{ab} = 2\xi^{c}\xi_{c}\epsilon^{abef}\nabla_{e}\nabla_{a}\xi_{b} + 4\epsilon^{abef}\xi_{c}\nabla_{e}\xi^{c}\nabla_{a}\xi_{b} - 4\nabla^{e}\xi^{f}\epsilon_{eabc}\xi^{a}\nabla^{b}\xi^{c}## where I have used the explicit form of the twist of ##\xi^{a}##.
Now, note that ##\epsilon^{abef}\nabla_{e}\nabla_{a}\xi_{b} = \epsilon^{ebaf}\nabla_{a}\nabla_{e}\xi_{b} = -\epsilon^{abef}\nabla_{a}\nabla_{e}\xi_{b}## where in the first equality I renamed the indices and in the second equality I used the antisymmetry of the volume form. Hence ##2\epsilon^{abef}\nabla_{e}\nabla_{a}\xi_{b} = \epsilon^{abef}R_{eab}{}{}^{d}\xi_{d} = \epsilon^{fbea}R^{d}{}{}_{bea}\xi_{d}##. Using the antisymmetry of the volume form and the Bianchi identity ##R_{a[bcd]} = 0##, we have that ##3\epsilon^{fbea}R^{d}{}{}_{bea}\xi_{d} = 3\epsilon^{fbea}R^{d}{}{}_{[bea]}\xi_{d} = 0## thus ##\epsilon^{abef}\nabla_{e}\nabla_{a}\xi_{b} = 0##.
All we're left with now is ##\epsilon^{abef}\nabla_{e}\alpha_{ab} = 4\epsilon^{abef}\xi_{c}\nabla_{e}\xi^{c}\nabla_{a}\xi_{b} - 4 \epsilon_{eabc}\xi^{a}\nabla^{b}\xi^{c}\nabla^{e}\xi^{f}##. Using again the antisymmetry of the volume form and permuting the indices around, we can express this as ##\epsilon^{abef}\nabla_{e}\alpha_{ab} = 8\xi_{c}\nabla^{a}\xi^{b}\epsilon_{abe}{}{}^{[c}\nabla^{f]}\xi^{e}##. As usual, in order to show that this vanishes all we have to show is that ##\epsilon^{klcf}(\nabla^{a}\xi^{b}\epsilon_{abec}\nabla_{f}\xi^{e}) = 0##. This can be easily done as ##\epsilon^{klcf}(\nabla^{a}\xi^{b}\epsilon_{abec}\nabla_{f}\xi^{e}) = \epsilon^{klfc}\epsilon_{abec}\nabla^{a}\xi^{b}\nabla^{e}\xi_{f} = -6\nabla^{[k}\xi^{l}\nabla^{f]}\xi_{f}##. Expanding this out, we have ##-6\nabla^{[k}\xi^{l}\nabla^{f]}\xi_{f} = -2(\nabla^{k}\xi^{l}\nabla^{f}\xi_{f} - \nabla^{k}\xi^{f}\nabla^{l}\xi_{f} + \nabla^{l}\xi^{f}\nabla^{k}\xi_{f}) = - \nabla^{k}\xi^{f}\nabla^{l}\xi_{f}+\nabla^{l}\xi_{f}\nabla^{k}\xi^{f} = 0## where I used the fact that ##\nabla^{f}\xi_{f} = 0## for killing vector fields.
So we finally have that ##\epsilon^{abef}\nabla_{e}\alpha_{ab} = 0## therefore ##\nabla_{[e}\alpha_{ab]} = 0## as desired.