I'll attempt to verify this as well on my end.

I'd like to see the message headers of one of the fails that's not threading. Perhaps someone @WGM could also scan our desk for fails as new tickets that are clearly meant to reply to a helpdesk address.

This shouldn't be too hard to test with any SMTP server that doesn't reject non-existent addresses out of hand. It would be a bit harder to test with something like XAMPP since you're dealing with local accounts the server knows about (and can fail on during the SMTP connection).

Mail filter extensions could handle this in 4.2.3+