I was a bit busy working out the details of the problem.
When a NDR is received by Exchange server, Exchange server attaches the original sent item as attachment. There is a tool called MFCMAPI which allows you to explore the contents of the email in exchange server. From the tool, we can see the attachment and
the extended property PidHasAttachment. The value of PidTagHasAttachments is true.
If you bind to NDR using Exchange Web Services Managed API SDK, Item.HasAttachment has a value of false. But, if you inspect the Attachments collection, there are attachments to the item or email message.
If you look at Outlook Web Access, the attachment icon is not shown. However, if you open Microsoft Outlook thick client, Outlook does some processing and puts the PidTagProcessed to true. The processing that Outlook does depends on the mailbox options specified:
whether the original sent item should be attached to delivery receipts.