De acordo com o RFC 2181 link
10.3. MX and NS records
The domain name used as the value of a NS resource record, or part of the value of a MX resource record must not be an alias. Not only is the specification clear on this point, but using an alias in either of these positions neither works as well as might be hoped, nor well fulfills the ambition that may have led to this approach. This domain name must have as its value one or more address records. Currently those will be A records, however in the future other record types giving addressing information may be acceptable. It can also have other RRs, but never a CNAME RR.
Por que essa restrição está em vigor?
Eu suponho devido à resolução de sobrecarga, mas é realmente tão caro hoje em dia?
A partir da experiência com um registro MX incorreto que usava uma troca CNAME, nenhum problema ocorreu durante alguns anos, exceto por alguns retransmissores de e-mail que não conseguiram encontrar a troca MX.