I am actually getting clients bringing this to my attention as an issue. I don't think that it is email server/header issue.
It doesn't happen like this in a standalone install of WP.
This is what one client sent me today - client received this email from her website contact form. Her site is a subdomain networked site under mydomain.ca.... it shouldn't say from "mydomain.ca", it should say from "clientdomain.com" as it does in a single site install...
From: "mydomain.ca" <firstname.lastname@example.org>
Subject: [Client Website Name] contact
Date: 10 February, 2012 11:03:56 PM PST
Any further thoughts?