Yes you do need an MX record here is what is required on the DNS side of things:
How to Add DNS Records
After you configure the SMTP virtual server and the SMTP connector, you can send outgoing mail. However, incoming and return messages are not able to be delivered to you until you (or your ISP) configure DNS.
If your ISP is managing your DNS and you have a dial-up connection, the ISP must create a Mail Exchanger (MX) record that points to their smart host. This record uses the following format:
MX <your_domain>.com smart host1.<isp_domain>.com 10
MX <your_domain>.com smart host2.<isp_domain>.com 10
The preference value is 10, which can be used for preferential delivery or load balancing (as in this scenario). The ISP also have A (Address) records for smart host1 and smart host2.
If your ISP is managing your DNS records and you have a permanent link, the ISP adds the following record:
MX <your_domain>.com exchange.<your_domain>.com 10
MX <your_domain>.com smart host1.<isp_domain>.com 20
MX <your_domain>.com smart host2.<isp_domain>.com 20
A exchange.<your_domain>.com 131.107.2.200
If your link is down, your messages are delivered to the ISP's smart hosts and you can pick up your messages from the smart host. Also note that the A record must be explicitly entered.
If you are managing your own DNS records, add the following record:
MX <your_domain>.com exchange.<your_domain>.com 10
A exchange.<your_domain>.com 131.107.2.200
However, you may enter an MX record for a smart host as well.
If you have one or more SMTP front-end protocol servers, your DNS records look similar to the following record:
MX <your_domain>.com smtp1.<your_domain>.com 10
MX <your_domain>.com smtp2.<your_domain>.com 10
A smtp1.<your_domain>.com 131.107.2.201
A smtp2.<your_domain>.com 131.107.2.202
NOTE: If you are running your own DNS, your zone is mirrored on a secondary DNS server, possibly at another company location or with your ISP.
NOTE: It typically takes 24 hours for Internet DNS records to roll over.
Thank you,
Frank Mirecki