You absolutely don't need a CNAME record. As a matter of fact you should never have an MX entry point to a CNAME but rather it should point to an A record. (Same goes for SOA and CNAME).
CNAME is good for having one machine answer to several names but not using it if not needed is good DNS practice.
I recommend the DNS HOWTO by Nicolai Langfeldt available at tldp.org to get a good overview about DNS administration.