The reason for this is likely because the browser is having to sometimes load non-secure content in emails from external sources such as images. The website is still running over a secure connection. This is a tough challenge to tackle as in order to maintain this green lock or secure messages, we'd need to block external content that is loaded unsecurely, like images in an email. There are ways of maybe proxying images through the SmarterMail connection but this could increase bandwidth and load since now your server (not the client) would have to fetch and cache, then re-serve the images from itself replacing the links in the email.
Not saying this couldn't be done, it's just very challenging and is not something that we have yet figured out.