The mystery has been solved.
The problem was MailSecurity version 12. For some unknown reason MailSecurity was scanning emails then moving them to the GFI FailedMails folder instead of scanning and releasing them. That folder can be found at C:\Program Files (x86)\GFI\ContentSecurity\MailSecurity\FailedMails folder.
The resolution: I upgraded MailSecurity to the latest version. The emails in the FailedMail folder I moved to the C:\Program Files\Microsoft\Exchange Server\TransportRoles\Pickup folder and Exchange picked up the emails and processes them.
I hope you fing this solution helpful. It required calls to both GFI and Microsoft Exchange 2007 support team to finally resolve this issue.