I've tried to move my domain from GoDaddy to Yandex Connect
And in the admin setting about my domain, I see:
MX records for this domain have not been set up
But MX record added automatically
Host: @
Record type: MX
Record value: mx.yandex.net.
Priority: 10
And it's look like in docs
I wrote a mail to support, but wait for an answer too long
I got the same error message, while a difference for me is that I added the MX records to my current GoDaddy domain according to their guide.
With third party tools, I can find my MX record has been propagated correctly, but I still get the error saying "MX records for this domain have not been set up".
Not sure how long Yandex takes to refresh my MX records status. Let me wait for couple hours, will post an update if it goes through.