Right.
That's because your hosting company has configured PHP to send those headers, because it helps them track down spammers if rogue scripts on the server send out spam and the emails get reported.
It's a long-standing known issue.
You have two options:
a) Tell your hosting company that you don't care about their spam controls and get them to turn it off.
or
b) Change your Zen Cart configuration to use SMTPAUTH for the Email Transport Protocol instead of PHP. Be sure to fill in all the SMTP settings as well, else it won't work.
Option (b) is the best approach, since it has the side-benefit of having your emails much less likely treated as spam when they're received.
.
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