Yes, most wallets give you a warning when you are trying to spend unconfirmed coins, so may be the coins your 'local exchange' sent you haven't confirmed, that's why may be you are receiving that email notification. Ask your local exchange to give you the transaction id and see if they have indeed sent the payment in and do check whether the transaction has received any confirmations on it.
I contacted the exchange and they are yet to process the transaction. You were of great help to me.
Thanks a ton my friend!!!
I created the wallet address through Blockchain.info and it generated the private keys too. I later made some Bitcoin purchase through the local exchange and now when i am trying to transfer those BTC to the wallet the addresses changes.
I am not sure, if I understood right, but can it be, that your account at exchanger is hacked or have a copy paste virus?
Or do you use the blockchain.info wallet? Then it is usual, that you see another wallet address. It generates after each recieving a new address for privacy. But you can also recieve funds still on your old address.