Enable the following setting in the advanced outbound SMTP settings: -
Strip pre-existing RECEIVED headers
If you do not want the header to be created even when SBG accepts the mail (recieved header for outbound) you can disable Insert RECEIVED header
Configuring SMTP advanced settings
To configure SMTP advanced settings
1 In the Control Center, click Administration > Hosts > Configuration.
2 Click the underlined name of the host you want to configure.
3 Click the SMTP tab.
4 Scroll to the bottom of the page and click Advanced Settings.
5 Make the desired configurations changes.
6 Click Continue.
7 On the Host Configuration page, click Save.