Exchange not receiving Delivery Failure Notification

[Guest]

[lbalding]

  We have an exchange server sitting behind an EFW Community with the SMTP proxy enabled.  Occasionally we get a failed outgoing email delivery attempt for various reasons (mostly bad DNS hygiene b/c of NAT).  The problem is that the sender(our exchange user) will not get the delivery failure notification.  I'd really like to continue using the proxy as is provides virus and much better spam protection but, my users need to know when an email doesn't get delivered.

  Anybody have a work around for this?

Thanks in advance!