[jmulder]

I assume because the concept of those messages and the 'undo' action they contain match. The message is a confirmation of sending and the action is to undo sending. Having read the message once and learn about it allows you to dismiss it in future interactions.

Moving this message of 'did you forget an attachment?' to that same message would result in a mixed and unpredictable result -- unpredictable because you didn't know you forgot about the attachment. You expect a confirmation message, dismiss it (meaning you don't even look at it), but instead the attachment message might have been shown there. You wouldn't have known.

[Piskvorrr]

That does sound confusing, yes. Perhaps what Thunderbird does, then: shows such information bar as soon as one of the "attachment-related" words is found in the message or subject.