Question

What unmanaged resources does it allocates that needs to be disposed? Isn’t it just a simple array of managed data? So why disposing?

Answer 1

A mail message has attachments -> attachments are Streams -> Streams are to be disposed.

Here is the decompiled Dispose method of MailMessage:

    protected virtual void Dispose(bool disposing)
    {
        if (disposing && !this.disposed)
        {
            this.disposed = true;
            if (this.views != null)
            {
                this.views.Dispose();
            }
            if (this.attachments != null)
            {
                this.attachments.Dispose();
            }
            if (this.bodyView != null)
            {
                this.bodyView.Dispose();
            }
        }
    }

As a general rule a class should implement IDisposable if any of its contained children implement it.