At least according Hoff on his blog (read here). One good reason to have all incoming traffic run over the OpenVMS box (small chance that will be infected!), and being able to screen messages before actually donwloading them onto Windows boxes. (I would like to have apple systems around but having game-playing kids around, I’m stuck to Windows. And the company I work at - and their customers - heavily rely on Windows boxes for their office work…)
There is a fair chance that this type of scam is now filtered - even better!