Outbound abuse e-mail deleted as spam

We received the usual standard spam e-mail through Sophos Email Gateway stating that after visiting a website the local machine was infected and all user activity logged and the camera used to record the user. The only way to prevent releasing compromising bla bla bla.

Normally these e-mails are send from east block domains so an attempt to communicate with the domain owner of the ip is normally useless. In this case it was received from an New Zealand domain. So I fowarded the e-mail to the abuse e-mail of the domain owner asking them to contact their customer. 

Problem is Sophos does not allow me to send that abuse e-mail as according to Sophos it is spam. FFS it was spam when we received it! It should have never been delivered in the first place but why can't we contact the abuse domain owner with that message?

Why are there no settings to control oubound spam messages?