DNS BL Configuration Problem

The DNS Blacklist Filters are not working: every external SMTP host is considered local:

29/07/2009 12.07.54 SMTP Server [0F80:000D-160C] DNS Blacklist: Skipping because dyn-28-146.e-sky.ru (85.92.28.146) is considered local

We have enable the DNS Blacklist Filter in the Server Configuration Document as follows:

DNS Blacklist Filters: Enables

DNS Blacklist Hosts: zen.spamhaus.org

Action: log & reject

Anti-relay Enforcement: External hosts.

Any clues?

Thank you in advance.

Alessandro