Will messages rejected due to banned attachments be saved anywhere?
Yes. In common with other content checking features within GMS such as Virus checking, all messages that are rejected due to having restricted content may be saved in a local Quarantine folder.
That Quarantine folder may be checked by the system administrator from time to time. The administrator may then either decide to delete the messages, pass them on to their intended recipient or indeed pass them on to a completely different recipient.