As far as I have seen, it's treated as an attachment, not another email, so URL rewrites etc will not happen. We have seen them try to use emais as attachments to try to pass along malicious URLs and attachments in that email instead.
Personally, I would leave them blocked unless there is a really good reason.
To be sure, you can look at logs of an example email as it should still pass through spam, AV etc before being removed by a filter.
