You should not be concerned too much if the address does not exist.
It probably came from something like: SEPM_Server@domain.com
* * * * * * * *
Can you check the header information of the e.mail you received and tell me if it originated from your mail server's IP address or FQDN?
If not, do you know/recognize the IP/name it did come from?
You have a local Mail Server and an MX record in your DNS server. With nothing configured the system is probably using a DNS lookup to find and send the message.
What I will say, is a scary scary thing. My Mail server is set to use SSL/TLS and authentication for sending all messages.
Like you, the e.mail address does not exist and under normal circumstances, mail cannot be sent with an unknown address... But, with nothing configured in the E.mail server properties, I can send test messages.
Which leads me to believe the system is looking up the MX record.