This is not an error. This is a correct output when the Web Reputation or the Content Scanning actions are set to Delete Entire Message. This output happens because the email was already deleted by ScanMail for Exchange before it was delivered to the user's inbox. 

To resolve this, you can change the action of Web Reputation and Content Scanning to either Quarantine message to user's spam folder or Tag and Deliver.

Checking for Content Scanning action:

1. Log in to the ScanMail for Exchange console.
2. Go to Spam Prevention > Content Scanning  > Action tab.
3. Choose either Quarantine message to user's spam folder or Tag and Deliver.
4. Click Save.

Checking for Web Reputation action:

1. Log in to the ScanMail for Exchange console.
2. Go to Web Reputation > Action.
3. Choose either Quarantine message to user's spam folder or Tag and Deliver. 
4. Click Save.