Your server must be configured to reject unknown addresses during the early stage of the SMTP protocol interaction (technically, at the RCPT TO: command). Older versions of Microsoft Exchange cannot do this without a patch (Exchange 2002) or third party software. Your server would have a second chance to reject the message, but that is not allowed for users of the mail feed service since then our server would produce a bounce message which might be directed to an innocent third party.
Your outgoing mail can either go out directly, or through our servers.