The message is being generate by their server, not by yours.
It isn't an Exchange message.
Many ISPs will use a cluster of email servers for their inbound email. As Exchange caches DNS lookup results it is perfectly possible for the server to continue to attempt to deliver to a non-valid server. You would need to look at SMTP logs to see what IP address the message delivery is being attempted to, and then compare it to the MX records found through a DNS lookup both on the server and using a public nslookup service to see if the same results come back.
Simon.