Yes, they’re probably rewriting the return path (aka “envelope from”) when the outgoing email passes through their servers. There’s probably a setting somewhere to turn that off, but I’ve not used mailgun, so I can’t say for sure (or where such a setting would be).
OK, that is an error between mail-receiver and Discourse. There should be a line in the logs soon before that that starts “Failed to GET smtp_should_reject answer” that will tell you more about what failed and why, and that should correlate with an error message of some sort in the Discourse logs.