message goes to quarantine AND bounces back to sender?

I just brought SMG online for the whole company on Friday (I had been testing it on a secondary domain, waiting for bug fixes, etc.). 

This morning I got a call from a vendor saying their email to me had bounced back with an error: "500 Message denied access due to content filters in effect" 

But then I found the message in my Quarantine as well.  Isn't it supposed to reject OR quarantine, not both?  Is that how SMG does it normally or do I have something set wrong?