Hi Kevin,
As Charlie said, this is a long standing problem with multidrop mail. Depending on your situation and ISP, there could be workarounds.
If you have a static IP address, you could talk to your Domain host to set up your SME server as the primary mail server (primary MX). If not, you could also try a dynamic DNS arrangement as well.
Another way is to ask and see if your ISP is willing to add another header to the mails (eg. x-delivered-to) to facilitate delivery. You can tell SME to sort on this header.
Yet another way is to see if your Domain host supports ETRN and to see if it is easy enough to configure (read as "customise") SME to support your Domain host's dequeue method (not all of them are the same).
Hope this helps.
Kelvin