Nice idea but once it's had a bit of publicity and gained 'respectability' in people's minds, I suspect we'll start seeing a proliferation of scam emails, trojans and the rest of it, all with a 'reply to' address of this 'National Fraud Authority'.
Since it's a real organisation with an interest in online security, and it could be expected to conduct business by email, the chances of people opening their emails and clicking on the links that they contain would be quite high, and so use of their address would have great appeal to spammers scammers and the other toe rags.
Just my pessimistic ha'pence worth.