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!!!
Good to know that you have known the answer but in case that your transaction was confirmed and processed by the exchange you are using and still there's no reflect in the offline wallet but you can see your transaction in the blockchain network. You must update that offline paper wallet of yours and in other terms you need to synch it.