Adding on because I just went through this and chatted with support. Note: This was for Zoho after verifying DNS in Shopify.
I’d reached this section and the MX files were producing errors.
Go to DOMAINS >> your main shop >> scroll down to EMAIL FORWARDING and click “switch to email hosting”.
Select “Zoho Mail” and from that initial TXT code used to verify your DNS, only the section of your verification that I made bold/red below.
zoho-verification=zbxxxxxxx.zmverify.zoho.com
That should be accepted.
Go back to the DNS management page and add the remaining TXT files on the Zoho list.
Click “verify” in Zoho.