As this is something displayed by the User Agent (webmail, outlook, thunderbird) I would first ask the support there what this message actually means...
My guess is that it means that the message was not encrypted using PGP or S/MIME (end-to-end encryption) - this is something different to using TLS
(transport encryption)
PMG does not encrypt mails using PGP (because this should happen in the User Agent of the user)