Email providers commonly use CNAME records for DKIM selectors, tracking domains or service discovery.
A CNAME makes one DNS name an alias of another name. The aliased name has restrictions on coexisting DNS data.
MX is different
An MX record contains the hostname of a mail exchanger. You do not publish a CNAME instead of an MX just because a provider gives you a hostname.
Follow the exact record type the service documents.