I've been playing around with this, but the account is actually banned using the ban button. I reversed the ban and then re-banned the account to see if something just wasn't working. But it still comes up when creating a message:
This is what the account looks like in AdminCP. Is there something there that I'm missing, which could well be the case! We don't have to ban that many, so it's not something I've done a million times. 🙂