Can anyone explain DNS please?

Does anyone have the knowledge and time to answer some questions about DNS please? I have been renting servers from Kimsufi, OVH and So You Start for many years now, usually for my own sites, but have been interested in setting up as a hosting provider.
I know cpanel is probably the best, but I want to use KloxoMR instead. It's the only open source panel that integrates out of the box with billing software, but I have never managed a successful installation of KloxoMR, as webmail never works.

The only thing I can think that might be causing that is DNS, other open source panels are ready configured while KloxoMR isn't, and indeed doing a check with intodns shows I have no MX records configured, but how do I do that?
The problem I have in understanding DNS, is WHERE to set it up from?
I have three points to my domain name:
1. My domain name provider, in this case crazydomains.
2.Kimsui/OVH, my server provider.
3. KloxoMR, my hosting control panel.

With other OS panels, I simply set an A record to my server ip, and the control panel takes care of the rest, but not the case with KloxoMR.
I understand a hostname to be host.domain.com but some forums consider domain.com to be a host name. So first question which is correct?
Second, My server name is along the lines of nshost123.kimsufi.com but I can add my own hostname. If I add my own, does that mean I create an A record like host.domain.com at crazydomains, then add that in Kimsufi's control panel?
Thirdly, where do I set up MX records from? After pointing my domain to my ip and adding it as the default domain in KloxoMR, it shows the following DNS template:
__base__ A - 12.34.567.89
cp A - 12.34.567.89
ftp A - 12.34.567.89
mail A - 12.34.567.89
ns1 A - 12.34.567.89
ns2 A - 12.34.567.89
stats A - 12.34.567.89
lists CN - mail
webmail CN - mail
www CN - __base__
imap FCNAME - mail.domain.com.dnst
pop FCNAME - mail.domain.com.dnst
smtp FCNAME - mail.domain.com.dnst
__base__ MX 10 mail.domain.com.dnst
__base__ NS - ns1.domain.com
__base__ NS - ns2.domain.com

(domain.com being my domain name)
Yet intodns shows that my domain name does not have mx records, even after creating them at crazydomains as well.
So where do I set up mx records from, domain provider, server provider or server?
Any help would really be appreciated, thanks.