The MX records for your alias domains do not have to point the same as your primary domains or other alias domains.
Keep in mind however, that within the McAfee SaaS Control Console, the IP address of the alias domain will be the same as the Primary domain it's listed under, there is no way to specify a separate inbound server. You mentioned that your primary domain and IP is based here in the US. I'm not sure how you are fowarding mail after we deliver it, but if the mail goes to a server in the US first, than it would probably be better to use data centers (MX records) in the US for both your primary domain and alias.
If you need to have McAfee deliver your mail to a different IP address for the alias domain, it would be neccessary to add it as an addtional primary domain within the Control Console rather than an alias domain. You can contact your suppport team to have a primary domain added.