If you have not already you can setup message tracking and then track the emails and see where the issue might be.
Here is a link that describes how to turn on this feature in Exchange 2003 and how to track emails within Exchange. Turn the feature on and then resend emails to that account to track them.
http://www.msexchange.org/tutorials/Exchange-2003-Message-Tracking-Logging.htmlIf you are using Exchange 2007 then message tracking is turned on by default and you can access the message tracking tool under Tools in the EMC.