Yes sir, you can save your mail message using this property
ProcessedEventArgs's MailMessage. Before saving, you can alter the message like updating the subject as the following code:
MailMessage msg = e.MailMessage;
msg.Subject = "[Bounce Signature ID: " e.Result.SignatureId "] - " msg.Subject ;
msg.Save("my message.eml");
If you would also like to update the message on the server, you need to delete the message on the server and upload the altered one onto the same mailbox.