You don't setup the MX record on your SME box, unless of course your primary DNS is hosted on the box.
Somewhere you have a Primary DNS provider that has the record for your domain. This record will know to point web requests for domain.com to point to an IP of some sort. This is where you will also need to define your MX record.
As for the setup in Outlook, I don't think it matters what you point it to. If your on the same LAN as the box, you can point it to the internal IP, as well as the hostname. If your external, you can point to domain.com, mail.domain.com, or even the IP.
Geoffrey