This appears when you've viewed the message on another computer or phone or whatever.
For instance, say my buddy emailed me a copy of our Chemistry notes for a test next week. The email shows up on my iPhone. But I go and check under the GMail page on Google. I read the email, maybe download a file he put in there.
When I go back to the iPhone, there's a possibility that it will say "This message has not been downloaded from the server."
I have another question. How can i use my Hotmail account on my iPhone. I wont have to pay for the premium version will i? I would like to know because its just convenient for me to have my hotmail set up wherever i am.