Este é um problema conhecido para o Outlook 2007 (e 2003), mas não para 2010.
Se for o Outlook 2007, o Outlook 2007 SP2 + o Hotfix disponível em MS KB2276479 deve cuidar disso.
Under Issues that this hotfix package fixes:
Consider the following scenario:
- Your mailbox is moved to Microsoft Exchange Server 2010.
- In Office Outlook 2007, you open an email message that contains an attachment.
- The message was sent by an external user.
- You click the Microsoft Office button, point to Save As, and then click Save Attachments.
In this scenario, the attachment is not saved as expected.