Hi Doron,
I do not think there should be any issues scanning msg attachments in emails.
Could you confirm if you see this error for specific or all msg attachments?
Passing a msg attachment I saved from Outlook through a lab device on Async OS 11 showed no errors.
You may want to open a TAC case to see if the issue can be recreated for specific attachment to determine a cause.
You could also test yourself by passing multiple msg attachments through your device to narrow down what is different in specific attachments.
Regards,
Libin Varghese