You will receive the "Pending Setup: MX Error" message if your domain name does not have the proper MX records. MX records control which email server receives email sent to your domain name.
To resolve this error, you need to change your domain's MX records. You can find the correct MX records using Checking MX Records in the Workspace Control Center.
Where you change your MX records depends on where your domain name is registered. If your domain name is...
After changing your MX records, you can resubmit your domain name for MX record validation by clicking Retry next to the Pending Setup: MX Error status message.