Author: J.Tatro (30 Dec 06 12:23pm)
In my case, what I discovered, after experiencing this problem myself with cpanel, is that the domain used for the donated sub-domain MX entries DNS listing must be the same as the hosting service DNS listing, in order be able to use cpanel to change MX settings.
I donated a sub-domain MX entry that was "parked" on another domain through my hosting service. After trying several times to make the necessary changes I finally figured out the DNS settings though my domain registration service needed to be changed. Once I did this, I was able to use cpanel to change the MX entry for the donated sub-domain.
I am definitely not an expert but I hope this helps at least some of you out.