No, MX records must not point to CNAME records. In the following example, the specified MX record for greatmail.com is invalid because it points to a CNAME :
greatmail.com.com MX mail.greatmail.com
mail.greatmail.com CNAME mail2.greatmail.com
An MX record must point to an address record (A or AAAA).
The following MX and A records are correct:
greatmail.com.com MX mail.greatmail.com
mail.greatmail.com. IN A 208.70.245.70