Well, at the very end they do point to A records. What I have is:
mail.domain.tld -> CNAME to -> mail.alpha.otherdomain.tld
mail.alpha.otherdomain.tld -> MX -> Prio. 10
mail.beta.otherdomain.tld -> MX -> Prio. 20
mail.alpha.otherdomain.tld -> A -> to mailserver IP
mail.beta.otherdomain.tld -> A -> to 2nd mailserver IP
Both mailservers are running on other servers than the webserver.