I would expect the "from" address in a message from an anonymous remailer would have some sort of serial number in it, so the remailer knew where to send any reply. Or does it assume that if it has sent a message to you, any response will be to the original sender? I can't see how that would work as two people could mail the same person, and the remailer would not know how to distinguish between them.
I suspect rather that the message is from somewhere completely different and they have just forged the source address,