Hi an welcome to the forum I think your internal server is responding not Sophos UTM
I think you are controlling the emails with NAT and firewall rules not with "Email Protection" This is an example of sending mail to nonexistent user in my domain from gmail and the "with callout" is on! ---------------
nouser@mydom.com
Technical details of permanent failure: Google tried to deliver your message, but it was rejected by the server for the recipient domain mydom.com by utm.oldeda.com