mail.mydomain.com not redirecting to mail.zoho.com although I have created CNAME record

Name : mail.mydomain.com

Value:  mail.zoho.com

Status: Active

Also has MX Records: 

Name mydomain.com   

Priority         10   

Value mx.zohomail.com   

Status Active

Name mydomain.com   

Priority         20   

Value mx2.zohomail.com   

Status Active