MX records route all of your domains INBOUND mail. Normally you point MX records to the primary mail server for your domain. Some Spam services do direct you to route your domains mail directly to them, so that they can act as a middleman and process the mail before forwarding it on to your primary mail server.
A mail exchanger record (MX record) is a type of resource record in the Domain Name System that specifies a mail server responsible for accepting email messages on behalf of a recipient's domain, and a preference value used to prioritize mail delivery if multiple mail servers are available. The set of MX records of a domain name specifies how email should be routed with the Simple Mail Transfer Protocol (SMTP).