Okay, first do what it says: click on Edit methods -> Get record.
You need to copy the value of the Host field and go to Domain list -> Select your domain and click Manage -> Advanced DNS -> ADD NEW RECORD -> Select CNAME RECORD -> Paste the value of Host that you just copied on the Host field of the CNAME Record. Now, copy the Target field'...
To fix this, you will have to login to your Cpanel, then go to Zone Editor (DNS). From there, select the "domain" you are trying to update. Then from the list, there's should option where you can view all "A records" - just delete the "A records" of the sub-domain you have added.
You are both right and wrong.
For email delivery to work, DNS wise all that is required is a valid MX record (but an A record would work absent an mx record). That only covers the MTA though.
In order for IMAP/POP etc to work, the mail client needs to know the appropriate settings. An autodiscover record linked to an appropriately configured web server ...
By design of the DNS, the "target" of an MX record can only be an hostname, not an IP address.
Just put the A record for example.com to the IP of the website, do an MX record to mail.example.com and add an A record for that name to the IP address of your mail hosting server.