The most common mistake is to set up an MX record, without setting up an IP address for the mail host. (IE: mail.example.com is an MX record for example.com, but has no IP address) Our system tries to alert you to this before it happens.
Another very frequent mistake is to point an MX record to a mail server that doesn’t route mail for the domain yet, or keeps a separate user database for each destination domain.
Before reaching the conclusion that DNS is responsible for your mail routing issues, it’s a good idea to test your mail server, independently of the DNS.