I've just encountered a Bug, where MX Records won't be created/updated for Hetzner DNS. As a test, I've created an A Record which worked perfectly fine.
Also, I'm not sure whether this is related to this Bug, but a "." (dot) at the end of the Value seems to be removed. This caused my mail server to not receive emails, as in the DNS the Hostname for the Mailserver/MX Record has been constructed incorrectly.