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You are talking about Domino domains or SMTP Domains ?
For SMTP the ICAA client behind a corporate firewall, an external DNS lookup might not be possible, so this feature might not be possible to implement.
For Domino this can be done with a mail template adjustment. Some customers have done this by hardcoding their corporate Domino and corporate SMTP domain name - for recipients other than your own it was displaying the warning. This solution didnt perform well for large distribution lists and nested groups.