Please make sure you are adding the correct record as changes of MX record might need at least 4 hours of propagation period.
You could like to add record as below where will point domain.com's mx to
127.0.0.1 with priority of 10. mail IN A 127.0.0.1@ IN MX mail.domain.com
1. Login to your Website Panel via http://cp.domain.com or through http://serverhostname.com.
2. Click on "Domains" under system.
4. Click on "Edit DNS Zone Records" .
5. Click on "Add Record" to add new MX record or click on the "Pen"
logo icon on the left side of the record to edit.
6. Please use the format as below. Remember to click "Save" to save new record and the you have made.
Record Type: MX
Record Name: (empty)
Record Data: mail.domain.com
MX Priority: 1