I have also had this.
Full text of the in-game mail was:
We are sorry to inform you that your login account <<full account name>> will be shut down or partially limited in 72 hours duer to currency transactions of abnormal login. If you want to remove these restrictions, please click the following link to validate:
<< link that looks a bit like official arena net but is not >>
Please keep in mind that Guild Wars 2 is a global game with hundreds of thousands of players. This means that standards of behaviour must be upheld
GM << Yeah, not saying it >>
So – thank you very very much for the “Note: This message was sent by another player” warning. Without it, I possibly might have fallen for it.
I did, of course, report this user for scamming. But it might be nice for Arenanet to make the warning more prominent when a URL is detected in a mail?