sympa uses sendmail -f to set proper return-path.
but msmtp's sendmail ignores -f option if there is auto_from on in config file.
So in order to make it work in a proper way I should turn off auto_from and set
from, so cron bots can send me messages.
When auto_from is off and "from" is defined, "sendmail -f" works properly.
I do not think that ignoring -f option in any case is wise decision. It took
me several hours to understand why I do not get bounce mail. But it is good
that it is possible to make it work as I want...