Save all attachments does not work after moving to Exchange 2010

Today I troubleshot an issue with Outlook 2007 and the save all attachment function

When we tried to save all attachment from the file->Save as-> save all attachment, nothing happened. We were able to save attachment from the mail (right click save as…).

I tested to find out what causing this problem, and I was able to reproduce it. It seems like if the attachment has been sent from outside the Exchange organization this happens, but if I send the attachment within my Exchange organization the save all attachments works.

After verifying this, I thought this must be an bug.
I did some googling and found this link: http://social.technet.microsoft.com/Forums/en/exchange2010/thread/69f951f4-5ef3-46a3-8391-3e1e4c669c20

They say it’s a known bug in Exchange 2010, and that they are working on a KB article, which has not yet been published (KB980940).