Content filtering can remove the headers from a message/rfc822 part.
If Content filtering accepts both message/rfc822 and multipart/alternative MIME parts, and a message/rfc822 part contains a message whose content type is multipart/alternative and collapse_alternatives is Yes, the headers of the message in the message/rfc822 part will be lost.
This is 2.1 bug https://bugs.launchpad.net/mailman/+bug/757062 fixed after 3.0 was forked.