auth1.opendns.com has no MX records.
Question and response
Question
dig auth1.opendns.com. MX
Answer
The response has no answer records.
Authority
opendns.com. 86400 SOA auth1.opendns.com. noc.opendns.com. 1771755252 16384 2048 1048576 2560
Additional
. 32768 OPT ; payload 4000, xrcode 0, version 0, flags 32768