We have checked the message trace and explorer we are not seeing any attachments in the report
Have you checked the size of the message? Does it seem like the size has attachments included?
Please also have a check in the message header for X-MS-Has-Attach header.
Besides, if it is possible, please bypass the third-party filtering service to send another email with the same attachments directly to the recipient in Exchange Online and see if the attachments will still be missing.
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