Emails being deleted for Reason 'Customer Block List'. Where is this block list?

Hello all,

We should have been receiving emails from Sophos regarding an MTR incident, but we never did. I went into Email Gateway > Message Trace and looked for the email address on the dates expected and we can see entries for the missing emails that state:

'Last Status' > Deleted for | 'Reason' > Customer block list

The only place I would assume this would be is the Allow / Block list Settings entry in Email Gateway, but in said portal there's no such entry for any email address/domain that we were expecting the email to come from ( Curiously, the status suggesting it was 'Deleted for' as above would imply that it would only be deleted for that named person's mailbox, and yet there were a handful of us in the intended recipients.

Can someone please clarify for me what has happened here and how we can ensure this doesn't happen again?

Many Thanks!