Support

All emails are sent using Joomla!'s JMail API which uses PHPmailer, the most used email sending library for PHP. Both items your host told you are controlled by JMail and PHPMailer.

X-Priority is NOT a mandatory header at all. This is a bug in SpamAssassin. By default a rule exists in SpamAssassin which marks all email without X-Priority as spam. However it is NOT a standard field and MUST NOT be expected to be present at all times. Your host should remove that rule from SpamAssassin because it marks well-formed, standards-compliant emails as spam. Also do note that PHPMailer does not set an email priority by default and by design so this rule affects email sent by most PHP applications, including Joomla! itself.

Furthermore, you can simply add the sender address to your contact list to make sure emails from your site do not end up in the spam inbox.

You should have a say on what is delivered in your mailbox! SpamAssassin is a great tool which can flag messages as spam but it MUST be up to the human end user (you) to ultimately decide what to do with it. Having your host decide not to deliver the email –and presumably delete it– is just plain stupid on the part of your host! SpamAssassin, like any other spam filter before it, is not infallible.