Sometimes Spam is not Spam or?

I am a member of a great service called Spam Arrest, they totally control my inbox and I am very satisfied with them. I have only been using their service for a few months, but I can really tell the difference. Before I used so much time filtering my e-mails and finding out which ones to mark as junk and which lists to unsubscribe from and so on.

As you can see I am pretty happy about Spam Arrest "controlling" my inbox, so it came as a surprise to me when I received an affiliate commission e-mail from Spam Arrest and it was marked with a warning. And when it´s marked with a warning, the original e-mail from spam arrest is attached.

The e-mail is a standard e-mail telling me that the e-mail I have received (and is currently reading) appears to be forged. And I should only open the attached message if I am certain that it is really from the the person it claims to be from. Am I certain? Is spam arrest who they claim they are?

I did open the attached message and I guessed it. The e-mail was sent from PayPal with my monthly commissions from being an affiliate of Spam Arrest. And every single e-mail sent to me from PayPal with commissions "appears to be forged." I am not sure why that is. If Spam Arrest is using PayPal themselves, why can´t they do something about this?

Receiving an e-mail like this from Spam Arrest (eventhough it was sent from the PayPal system) with a warning that the e-mail they sent might be forged makes me trust them a little less (well, kind of...). I understand why it happens (because of PayPal), but I don´t understand why they haven´t done something about it.