since your my domain **mysite.com** has MX records that currently point to your email host, an alternate approach is needed. You'll need to add a subdomain (e.g. **sub.mysite.com**) to your Control Panel, verify the DNS (add the two TXT records and the MX records), and finally begin sending using the subdomain. Since the subdomain has the MX records pointing to your smtp server, it will pass the MX lookups that any recipient server performs. Once DNS propagates for this domain (up to 48 hours), the error should disappear.
If not, try adjusting the From: of the message to be an address that matches this domain as well.