If these messages are coming from OUTSIDE your organization, it is up to the user to send it as high priority. As far as GW goes, there is nothing at the MTA or PO that I know of to help.
If the message is INTERNAL, just send them as High Priority.
To change the priority of items you send
1 To change the priority of one item, open an item view > click File > Properties.
or
To change the priority of all items you send, click Tools > Options > double-click Send.
2 In the Priority group box, select High, Standard, or Low.
The small icon next to an item in the Mailbox is red when the priority is high, white when the priority is standard, and gray when the priority is low.
3 Click OK.
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Now create a filtering Rule on th eother end for High priority mail using the basic GroupWise Rule Filtering.
I don't know if this is what you're trying to achieve, if not maybe you could provide a different explanation of your goal.
OM
P.S. Welcome to Tech Republic, I hope you find some useful info and discussions here.