It's not a new feature, but a very old one, and it is very annoying. That being said, those who have an e-mail service that allows this feature to be activated do have far better protection against spam, spoofing, etc., than those that don't. Your reply to that message is used to whitelist your own e-mail address by the recipient's e-mail filtering software and is only done the first time you attempt to contact them.
Brian
