[gRoberts84]

Commonly it's because emails are not being sent from mycompanydomain's own SMTP server and via the service provider's own.

When setting up the service, account owners are required to setup DNS records that authorise the service providers SMTP server to send on behalf of mycompanydomain so that the emails don't get rejected or end up in the spam folder.

[itazula]

To prevent Zendesk's email from being consider spam, my company's SPF record contains include:mail.zendesk.com, but I still don't understand why, when they send email to my company, they say Zendesk "via" an email address at my company. There really doesn't seem to be any reason to not just use their own email address in the "From" header.

Thank you for your reply, but I think there is something I'm missing ...

[gRoberts84]

They've probably just setup that once you've opted in for them to send emails on behalf of your domain, they will use it for everything relating to your account.