http://support.microsoft.com/default.aspx?scid=kb;en-us;283051
UPD: И вот почему:
To expand distribution lists into individual recipients, Exchange contacts a global catalog server. The global catalog server has a copy of all global and universal groups in its domain and a copy of universal groups from other domains, but it does not have a copy of global groups from other domains. This becomes important in multi-domain environments because if a message is destined for a global distribution group in a domain that is separate from the global catalog server, Exchange cannot expand the distribution group on that message. Because the global catalog server does not have copies of the membership of global groups for domains outside its own, it does not contain any information about the distribution list. Therefore, the categorizer cannot expand the distribution list. To avoid this problem, always use universal distribution groups in multi-domain environments. Use global groups in single domains only.
http://technet.microsoft.com/en-us/library/aa996776.aspx