Incorrect MX record when using incoming gateway with external AntiSpam

Incorrect MX record when using incoming gateway with external AntiSpam

Hi,

I moved to a paid anti-spam solution as the spam started to increase quite a large.
However now i am getting notifications that the MX records are incorrect.

My domain MX is pointed to the anti-spam provider and incoming gateway in zoho has my anti-spam provider ip address.
As the incoming gateway is populated, shouldn't the MX incorrect notification should be appearing?

Thanks,
Yalini