Answer
PROBLEM
GFI MailEssentials blocks files that do not have a file name.
ENVIRONMENT
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GFI MailEssentials
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all supported environments
SOLUTION
To disable GFI MailEssentials from blocking attachments without a file name, please follow the procedure below:
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In GFI MailEssentials this option will be listed under EmailSecurity > Email Exploit Engine
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Disable the detection of the exploit Attachments without a file name (suspicious)
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Close the GFI MailEssentials configuration
CAUSE
By default the EmailSecurity portion of GFI MailEssentials will block files that do not have a file name. A file that does not have a file extension indicates that the email contains an attachment with an 'application / hta' Content-Type. Such attachments are often undesired.