Go to the Advanced DNS Manager in cPanel, select your domain from the drop-down. You should get an error about the zone file not being found or retrieved. This is expected, if you did not get an error, you did not select the right domain in the drop-down. Once you see that error, click the link to reset the zone file to its default state, and confirm. After it's done, you should see a bunch of entries. Exit out of the DNS Manager and head back to the MX records entry -- it should work now.