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I have in the postfix conf:

relayhost = my.internal.relay.example.org

All the mails transit through this relay. by default, postfix will try to do a MX lookup on my.internal.relay.example.org

Why ?

It's not the purpose of MX record. I just want to send through this host, not to the domain.

I know how to fix it (with [] or postfix config). postfix manuals says how to change the behaviour but not the reason.

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For SMTP servers delivering mail to MX records comes very naturally.

By also supporting a MX record in the relayhost setting you also automatically get the native fall-over, load balancing and redundancy that MX records can provide.

Supporting only a single ip-address or hostname is all fine and dandy when you only have a single relay machine.
When you want to prevent a single point of failure setting up two or more machines using MX records is fairly trivial way to achieve redundancy and HA, compared to setting up a cluster with either fail-over and/or a load balancer on that relayhost ip-address/hostname. Using MX records is probably also easier than adding a failover support in Postfix with for instance a optional setting for a backup_relayhost.

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