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Everything I've mentioned above is working fine. We are running a sniffer on our network gateway, which displays SMTP traffic between the Exchange server and the offsite server. However, it appears that some SMTP traffic is sent directly from the external network gateway IP to the destination domain IP.
Email that is sent directly to a domain using SPF authentication is being returned, since the SPF addresses do not match. If the destination domain is not using SPF, then the email is able to get through. Internal clients using Microsoft Outlook are not the problem.
If multiple email messages are sent, one will go through the gateway and the other will go through Exchange Server. Email sent to AOL.com, Yahoo.com, etc., tend to go out through the gateway instead of the Exchange server. Why is this happening?
Thank you for the very clear summary of the problem you are experiencing. It sounds like you may have another Exchange server that is attempting to use DNS to route messages. All Exchange servers should use the smart host specified on your SMTP connector, which should be configured to point to the external mail security service. Note: Until you create an SMTP connector, this is the default behavior in Exchange 2000 Server and Exchange Server 2003.
You can create a firewall rule to prevent all servers -- with the exception of the SMTP host -- from sending outbound mail through port 25. You should then begin to see mail queue up on the offending Exchange server.
If you don't want to go to that extreme, you can use Winroute.exe on your Exchange server to extract the link state information to verify external mail routes. Based on the configuration you described, all outbound mail should be going to a smart host at the service provider site. Also, you should enable message tracking on your Exchange servers so that you can track the messages to see where they are being routed.
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