I have an update. After talking to somebody using Shopify Support, I received a reply saying that my issue was fixed, and I just added the MX record without any error. In summary, get in contact with Shopify Support, they will try to fix it, if they ...

Talking to shopify support right now, I will update all of you!

I'm having the very same issue, I cannot add any MX record nor setup third-party email hosting (Google Workplace). Very annoying, I wish I had bought the domain on Google Workplace instead...