Jan - don't know who you were dealing with - are you sure it was the tax office!?!
One of the reasons you must send this paperwork in is that many people get sencond jobs. If they don't declare to their second employer that they have other employment they may be getting paid on the wrong tax code! When the IR then recieve the 2nd P46 they issue a letter to the first employer 'notice of employee leaving' as obviously they will not have recieved the relevant part of a P45 if you haven't issued one! I usually send these back with 'person still employed' written on them and in due course recieve a tax code for them.
As an employer you have got to show that you are responsible and have done all the relevant paperwork for the employee, if you have done this and the employee has lied to you about other employment it is not your problem. Ultimately the IR will always catch up with people (if not during the year then definately when your P35 return is done) and adjust their codes as necessary to get their money back.
If I were you I would carry on filling in the IR's part of P45/46 and sending them, at least you know you are covered then. I have sent hundreds in my time and not once have I recieved one back stating they didn't want it!
Fox