Currently, Outlook 2003/2007 only checks if PR_ATTACH_CONTENT_ID is present to decide if the attachments is suspect and hide it from the user (in the save all attach dialog). Outlook team would change this behavior so that Outlook looks for PR_ATTACH_CONTENT_LOCATION as well, and maybe check if R_ATTACHMENT_HIDDEN== true too.
With this Outlook design change, you will no longer have the same issue in Exchange 2010 environment.
That is why it doesn't work if we save attachments using the following methods:
1. Click File (menu) -> Save Attachments.
2. Open the mail, and go to the Office button
3 CTRL + A and CTRL + V
This issue is supposed to fixed in Outlook 2007 SP3