When taking the "Strip attachment" action in Messaging Gateway, the original message without the stripped attachments is attached to a new, plain text message that includes the "[attachment name] was removed because it violates your mail server's policy" text.
This is expected behavior.
The "Strip attachment" action will always attach the original HTML email to a new plain text email message which includes the notification text that attachments have been stripped.
As a side effect, if both the "Strip attachment" and "Annotate the message" actions are taken, the annotation will always use the plain text version of the annotation and the new plain text message will be annotated rather than the original HTML email.