SMSME not detecting trojan in zip files

We receive a lot of "Fedex" type messages with zip attachments. These attachments contain an .exe trojan. SMSE is not detecting any problem with these emails.

However, Endpoint Protection on the client machine does pick it up if you try and forward it on .

I have got round the problem by implementing the attachment filtering rule, but surely SMSE should be detecting the trojan in the first place ?