_spf1.mailgun.org has no MX records.
Question and response
Question
dig _spf1.mailgun.org. MX
Answer
The response has no answer records.
Authority
mailgun.org. 900 SOA ns-586.awsdns-09.net. awsdns-hostmaster.amazon.com. 1 7200 900 1209600 86400
Additional
. 0 OPT ; payload 4096, xrcode 0, version 0, flags 0