Well OK, technically there two instances in which one doesn’t need an Mx record.
- If you don’t want to receive mail for that domain.
I think we can discount that one because we’re having this conversation.
- In the loosest possible sense an Mx record is not technically required by the strict reading of the RFCs that govern SMTP (email). Technically if there isn’t an Mx a host should try to send to the A record if one exists (different DNS record which maps the host name to an IP). However, in practice this is a bad idea for any number of reasons… including in this case that Cloudflare doesn’t proxy SMTP traffic. So a specific Mx record is required to designate a host which can receive mail. I think another issue for you specifically is that I don’t believe the service hosting your site supports SMTP inbound either (not disclosing that here, but pretty sure if you ask them they’ll tell you that’s true).
So the reply address needs to be some type of a valid Mx record. I’m not sure exactly how the reply by email thing is supposed to work in this plugin (whether it can read from a normal POP3 style mailbox or whether it needs to use an inbound mail service like Postmark) but the mail has to route somewhere for that plugin to route it and Mx records are ow servers know where to send the message.
I realize that is really long winded and not a huge ton of help. Hopefully either someone else in the forum is more familiar with the plugin or if not, you might ask the plug-in creator if they have any insight.