Don't ask me why. I only noticed it when I added a MX record to my own site and when I could not send an email to that domain.
Fully qualified domain names must always have a dot at the end. Thats the case for BIND and also for mydns. If you dont add a dot, it is a relative domain name which is relative to the zone.
For example: If you enter just this without a dot
it will resolve to: