Messaging Gateway - Invalid Recipients Reject

Hi,

I am trying to enable Invalid Recipients Handling to Reject invalid recipients.

Although it is rejecting, I don't see the Reject message set by Messaging Gateway, instead I see the email coming from hotmail as I am using a personal hotmail account to test it. When I set it to accept all the recipients, the invalid recipient message comes from my Exchange Cas server inside my network.

How can I set the message to come from Messaging Gateway when I reject the invalid emails?