Your email client has a return receipts option enabled, but you do not receive final notifications for messages sent through the Messaging Gateway.
Return receipts are a type of Delivery Status Notifications (DSN) that is requested from the sender's email client and can request various delivery statuses. Many Mail Transfer Agents (MTAs) will provide failure DSNs by default, often whether or not the client has requested them, but not many are configured or capable of client initiated return receipts.
Currently, the Messaging Gateway does not support return receipts and is not capable of handling return receipt requests, though it will always attempt to send DSNs for delivery failures.
Return receipt functionality is being considered for inclusion in future releases of the Messaging Gateway. Subscribe to this article to be updated when this feature is available.