Well, I have a situation where setting a domain's MX to localhost appears to be necessary.
In March of 2012 I registered a cute domain that I was surprised to find available. It was for an artistic collaboration site my daughter wanted to set up. I set the MX to one of my other smtp servers. This worked well, but then I started to get lots of "unknown user" mail bounces to email@example.com (not the real domain name). So I used MailScanner to block all incoming messages to that domain except for one legitimate address. It seems that the domain was a free email service starting in 2001 but had apparently gone dark and gave up their cute domain name.
This worked well until a couple of days ago (11/20/12) when the smtp server started to reject incoming messages due to excessive open connections. These were smtp processes waiting for "receipt to" responses, I think. I looked at the traffic and I was getting bombarded by thousands of incoming messages for firstname.lastname@example.org from just as many smtp relays all over the world. (17,000 messages in one 24-hour period)
So I changed the MX to point to another server not running smtp with port 25 blocked. Sure enough, thousands of dropped sessions started showing up. Since this behavior looks like some sort of a spam torrent, maybe from a botnet, I figured that setting the MX to localhost might be called for.
I'll leave it like this for a while. We don't need email at all for the cute.domain.com, so nothing is lost except cycles for the botnet.