"Be Careful with this Message" - explained
When you send a message, we deliver it from our servers to all Mailing List Subscribers, including you.
Your email address is in the From: header, so everyone on the Mailing List knows who wrote the email.
Quite often, spammers send spam to you that looks like it came from your address. Gmail notices that it's from your address, but it did not come from a Gmail server.