Não sei se está causando o problema subjacente, mas para responder à sua pergunta específica, não, um registro MX não deve ser um CNAME. De acordo com RFC2181 s10.3 ,
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.
Na prática, isso geralmente funciona, mas se você estiver com problemas, a primeira coisa é se tornar compatível com a RFC e, em seguida, investigar os problemas que continuam além disso.