Following a fresh installation on to Windows Server 2003 R2 SP2, the configuration you detailed during installation is no longer correct.
For example, the mail domains and trusted relays won't be set correctly in order to properly categorise mail direction, and the Administrator's email address won't be set correctly in order to receive alerts.
Known to apply to the following Sophos product(s) and version(s)
PureMessage for Microsoft Exchange 3.1.0
Windows Server 2003 R2 SP2
What To Do
You must update the configuration following installation. This will include, PureMessage Mail Domains, PureMesssage Trusted Relays, and PureMessage Administrators Email. For more information refer to the Startup Guide.
The PureMessage installation requires .Net Framework 3.5 SP1 in order for the configuration to appear correctly at the end. This is provided as an option by the PureMessage installer.
If your computers are fully up-to-date with Microsoft Patches, this should already be installed, so the above issue should not arise.