I'm no expert, but wouldn't that primarily be for:
1. mail during the dns propagation period
2. some kind of obscure failover scenario?
As I understand it, the server sending the mail uses the MX record(s) to figure out where to send mail addressed to your server.
If you say no to the option, I imagine that the DH mail server will immediately start to refuse mail addressed to you. It will hopefully make its way to your new server through retry attempts.
As I said though, I'm no mail expert.
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