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I received a mail from eBay saying ‘Your last message to [recipient mail address] was not delivered.’ when I reply from email client.
You will receive this message when you reply to your mail without the Email Reference ID.
While replying to eBay mail using other email client, please ensure that the Email Reference ID is not removed from the body of the mail. eBay use this ID to identify the recipients. Remember to append the Email Reference ID programmatically with you auto-reply mails also.
Normally the reference ID is place beneath the MarketPlace Safety Tip Message as shown below.