It's using server resources on every hop it makes to the final mail server. It's probably a fraction of a fraction of a cent from end to end but the sheer amount of unsolicited spam emails that get generated and sent around must cost a somewhat substantial amount of money overall.

I had that issue only once with Gmail and mailing list emails. I'm subscribed to an IBM mainframe listserv and for some reason it started marking them as spam without any notification. It wasn't until I realized that I haven't seen them in a few weeks that I found them in the spam folder. Overall gmail is pretty good about it though. At work, we have exchange and a surprising amount of spam/phishing stuff gets through. I'm not sure if that's so much on Microsoft though or our own IT departments configuration of the exchange server.

I'll have to set up a Yahoo test account. I never tried to see if it worked properly with the email reply feature. (Test in production!)

Edit:Set up a Yahoo account and ran some tests. Seems to work fine with email replies.