You might be over thinking your solution. The gateway does not care about MX records, it only cares about domains. If you can have the firewall NAT each of those external MX records to the IP of your gateway, you should be fine. You need to write the MEG rules to listen for mail for the domains that match your MX records.
What do you mean "You need to write the MEG rules to listen for mail for the domains that match your MX records." Can you give a generic example?
Sorry for the delayed response. Basically you will set up your email config under email/email configuration/sending email. You should list your domains here (there is also a delivering mail box). These are the domains the MEG will listen for. In our case these map to MX records.
I have my rules set up based on the following: I set up my "internal servers" under group management/network groups. Then in the email policies you can reference these groups such that "inbound mail does not equal source network is internal, and then for outbound you do the opposite. thanks,