Unfortunately, I don't know of a good way of adding a message to the tops of emails... One thing you could do though is add a prefix to the subject using content filtering. You wouldn't want to enter that entire line, as it'll make the subject pretty long, but something like "External Email" might work. For this, you would set your condition to 'From specific domains' and on the next page, choose 'Does not match' and enter your domain. Then set the action as 'Prefix Subject'.
I wonder if other users might like to see this functionality as well. I could change this thread from a Question to a Proposed Idea to facilitate a feature request. What functionality would you like to see? We could potentially add this to the Events or Content Filtering section -- something that would add a message to incoming emails, either as a prefix to the message or as a footer.