This usually happens if the 'From' email address you use in your dolphin setup, belongs to a different domain than the one from which the email was sent. The reason for this, is because this is a common spam filter used by email providers like aol and yahoo, because that is the way most spam emails are formatted and sent. I would recommend using a 'From' email address that belongs to the same domain as your site. Of course, if it already is the same domain, I haven't a clue why this is happening.
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