@kitten@erincandescent it's complicated, the first DNS RFC 882 specifies MD and MF records already... but 973/974 which adds MX records describes the fallback to A (or really, an implicit MX record pointing to itself).
If you don't the spec a Null MX the mailserver specs say it should try sending towards the A/AAAA record when the MX record is absent.
Setting a Null MX basically just serves as a "fail fast" and improves the user experience of not having to wait until all retries are exhausted and delivery ultimately failed. (Which may be 24 to 48 hours later).
(Edit: And it saves you from getting a few connection attempts, but with port scanners these days that is basically minuscule)