I have a domain name registered with Go Daddy. "salemknights.com" but i'm using DYNU DNS services. I added the nameservers and MX records for DYNU on the go daddy portal. I added MX records on DYNU site but i'm getting the above error message on the DYNU site. Have I done something wrong?

On looking up MX records for your domain name, the following showed up:

salemknights.com MX preference = 5, mail exchanger = mx1.dynu.com
salemknights.com MX preference = 10, mail exchanger = mx2.dynu.com
salemknights.com MX preference = 20, mail exchanger = mail.salemknights.com

If you have email store/forward service, then you should list only Dynu MX records. This is possibly why the warning is showing up. But it should not affect the functioning of the service in any way.