site_ru. 17202 IN A 193.35.. site_ru. 21600 IN NS ns1_reg_ru. site_ru. 21600 IN NS ns2_reg_ru. site_ru. 21600 IN SOA ns1_reg_ru.hostmaster_ns1_reg_ru. 1667375766 14400 3600 604800 10800 site_ru. 20987 IN MX 10 mx_yandex_ru.
This message would suggest it is connecting to the naked domain and if that is proxied it would not work, however that’s not related to Cloudflare either and the message would not be correct either as it does not mention the proxy address.
In short, something here is off and either the posted output is not correct or you were given some incorrect information. In any case, I am afraid Cloudflare cannot fix that.
You have a proper MX record for mail and that’s where email should go. If they send it to mgnp.info, then it won’t arrive as that is proxied, but again you have a proper MX record. You need to take this up with the person sending the email, neither Cloudflare nor your mail host will be able to help you here I am afraid.