The message they give you ("The attached items may take a while to return to their owner.") is misleading. You will get this message even if you send items to yourself. Strangely, you do not get this message when trying to delete an exchange-returned item.
I deleted an e-mail with attachment once, just to see what would happen. This attempt was over 1 month ago. The item attached was not an important one, but still, the original sending player never got the item back.
Now, then I want to "return" an item, I take the effort to strip the attachment, and send new mail with attachment back to the originating player.