As stated originally I didn't think it was a bug.

Yes, I understand the different transport methods. (I was having issues with tell-a-friend being filtered both at our mail server and other mail servers - which is how I came to find what I think is a inconsistency rather than a bug)

It comes down to the rules established by the hosting configuration requirements.
Well, no, actually it doesn't.

It comes down to whether Zen Cart writes the customers address into the database or writes the store address into the database.

If I choose 'Emails must send from known domain?' in email admin then zen_mail replaces the customers email with the store email when the mail is sent. It doesn't replace the customers email with the store email in the archive. I think this is inconsistent.

When I was trying to fault find the filtering issue and was changing between 'Emails must be sent from a known domain' being on and off I couldn't go back to the archive to see which emails had been sent with this setting on and which were sent with this setting off because in the archive they all show the from address as if the setting was off.

So, to say it another way the archive does not reflect if this setting is on or off. It doesn't record what the actual 'from address' of the email was. It records what the 'from address' of the email was before 'Emails must be sent from a known domain' is actioned.

But it really is no big deal...