If you have domains hosted on NetRegistry then you must use their "Zonemanager" web interface to create and update DNS records.
The trouble is, if you try to save that page (see above, using the unhelpfully labeled "Edit Record" button) then it will fail because it does not like the trailling fullstop on the text in the "Name" field.
If you remove the full stop then the update will "work", except that the MX actually fail to resolve when you test it. Even after waiting for some hours for the change to propagate.
The confusion occurs because, in fact, putting anything in the "Name" field will cause your MX record to fail.
This is not indicated anywhere in the help, user feedback or error messages that are provided.
It turns out that what you need to do is leave the "Name" field completely empty which then causes the "smoke and mirrors" function within Zonemanager to create a record that includes the magical domain name with the trailing full stop entry.
Here is what the "Edit MX record" page looks like for a good MX entry.
I'm not even sure what that entry means, because when I set up an MX using bind the MX line has no entry at all in that furthest to the left position.
Anyway, fill your form out like this and it should be OK. The "Is Host Fully Qualified" tickbox doesn't seem to do anything.
This is how you should create an MX record using Netregistry Zonemanager.