Some SPAM filtering system involves a challenge-response architecture that sends an email back to the sender asking for confirmation of the message that was sent. Confirmation could be either replying to the challenge email, accessing a URL provided in the message, or providing another means of confirmation. Think of these kinds of systems like user-level greylisting; all messages must be manually confirmed by the user who sent them. The theory is that spammers surely won't bother confirming the messages.
This kind of SPAM prevention must be avoided at all costs for many reasons. First of all, any form of email sent automatically and not by humans cannot be confirmed; confirmation is an action that requires human intervention, and automated emails certainly cannot anticipate these kind of filters (also the reply address of automated messages usually goes nowhere). Nowadays much important and legitimate email traffic is automated. Think about web login form confirmations, online shopping emails, newsletters, and so on; the list is endless.
Additionally, you really can't expect the sender to perform further action on emails that have been sent to you, also considering that challenge messages are ironically likely to be flagged as SPAM by most filters. Challenge messages are also particularly annoying when reacting to mailing list traffic, and whitelisting all the traffic that doesn't react well to challenge mechanisms is a demanding task.
If despite everything you desperately want this kind of filtering, be sure to follow the best practices featured at http://www.templetons.com/brad/spam/challengeresponse.html.
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