Fake Osman Warning?

One of the founders of the English Defence League is one Paul Ray. He runs a blog called Lionheart and in July he wrote a post entitled "An act of war! An official threat against my life". In it he claimed that he had received an Osman Warning. He posted a photo of the warning on his site. Recently this was picked up and spread around the web including the Jawa Report.

However, it seems to me that his Osman Warning is a possible fake. The photo of the letter he supposedly received conspicuously lacks any letter head from any organisation. It lacks anything that could not have been written by Ray himself on any computer. But what really makes me wonder is the fact that Ray has signed it but yet still seems to have it. Generally, when a document needs to be signed it is so that someone else has a record of the person having received it. They would therefore need to keep the signed copy. Indeed, this policy document [pdf] from the Devon and Cornwall Constabulary makes this plain with regard to Osman Warnings:

(Insert name) will be informed that he is not under arrest and is there voluntarily. The contents of the attached letter will be read to (Insert name), you will then hand him/her this letter and ask him/her to sign it as proof he/she has been made aware of the threat. Once signed you will retain the document.

So, did Paul Ray fake his warning in order to cause trouble? And have other sites been conned?