An embedded OLE link will migrate as a text file name OBJECT.OLE.TXT and the text in the file is "An embedded OLE object was Discarded".
The message contained an embedded OLE link. This is not the same as a DocLink.
This behavior is normal. The way these links are created is as an object linked to the source and not as a DocLink. Notes Migrator for Exchange does not support the migration of embedded OLE attachments so this note is added in place of the OLE attachment explaining that it was discarded.