privatelink.msidentity.com has no MX records.
Question and response
Question
dig privatelink.msidentity.com. MX
Answer
The response has no answer records.
Authority
privatelink.msidentity.com. 300 SOA ns1-32.azure-dns.com. azuredns-hostmaster.microsoft.com. 1 3600 300 2419200 300
Additional
. 0 OPT ; payload 1232, xrcode 0, version 0, flags 0