I've seen this issue showing a couple of times on the BizTalk Newsgroups so I thought it's worth posting about this on my blog. The user expectation, which is probably correct from usability point of view, is that the %Filename% macro is replaced with the name of the original file no matter if that file was received from the disk through FILE adapter or from a document library through SharePoint adapter. This doesn't happen like that since the WSS adapter send ports will resolve the %Filename% macro to empty string if the message was originally received from any other adapter than WSS adapter. This is by design.
The %Filename% macro is replaced with the name of the SharePoint file (and not with the name of a file on disk). If the message was received through FILE adapter (or any other adapter than WSS) then the %Filename% macro is probably replaced with empty string. Macros (like %Filename%) and context properties (like WSS.Filename) are implemented by each adapter separately, they are specific to each adapter, and there is no 'framework' that would provide a unified set of macros/context properties accross all adapters. This makes sense since '%Filename%' might not make sense for a POP3 adapter or it could have a slightly different behavior for 3rd party adapters. Coincidently, some adapters have used the same macro name (I would guess %Filename% is a common one) and ocasionally the same context property. However, the %Filename% macro in a WSS adapter send port is totally different from a %Filename% macro in an FTP adapter send port, for instance.
To workaround this you can use an orchestration or a custom pipeline. All you need to do is get the disk file name from FILE.ReceivedFileName property and save it in the WSS.Filename property like below. Make sure that the Filename field in the send port UI dialog box is left empty so that the value supplied through the context property WSS.Filename is used to set the filename.
sharepointOutgoingMsg(WSS.Filename) = diskIncomingMsg(FILE.ReceivedFileName);
You don't have to use dynamic send ports for the workaround above. In the case of WSS adapter, you can define the send port configuration through the WSS.Config*, WSS.Filename context properties of the outgoing message and then configure the WSS send port equivalent properties so that they are either empty (text boxes) or have a value of Orchestration (drop-down boxes) in order to not overwrite the configuration information specified through the context properties.