Can I have an MX record for a 3rd level domain?

Yes, you can have an MX record for a 3rd level domain. You can have a MX record for anything (not that it makes sense in all cases).

Looks like it was a propagation delay because I see it:

 $ host -t mx sfr.continuumconcepts.com
 sfr.continuumconcepts.com mail is handled by 10 sfr.continuumconcepts.com.

+1 for actually showing your domain and making troubleshooting so much easier.

It is set up properly from a DNS perspective:

dmourati@cm:~$ dig -t mx sfr.continuumconcepts.com

; <<>> DiG 9.3.4-P1.2 <<>> -t mx sfr.continuumconcepts.com
;; global options:  printcmd
;; Got answer:
;; ->>HEADER<<- opcode: QUERY, status: NOERROR, id: 31579
;; flags: qr rd ra; QUERY: 1, ANSWER: 1, AUTHORITY: 2, ADDITIONAL: 3

;; QUESTION SECTION:
;sfr.continuumconcepts.com.     IN      MX

;; ANSWER SECTION:
sfr.continuumconcepts.com. 900  IN      MX      10 sfr.continuumconcepts.com.

;; AUTHORITY SECTION:
continuumconcepts.com.  897     IN      NS      ns46.domaincontrol.com.
continuumconcepts.com.  897     IN      NS      ns45.domaincontrol.com.

;; ADDITIONAL SECTION:
sfr.continuumconcepts.com. 897  IN      A       184.168.71.236
ns45.domaincontrol.com. 718     IN      A       216.69.185.23
ns46.domaincontrol.com. 718     IN      A       208.109.255.23

You do not yet have an SMTP listener on that host though:

dmourati@cm:~$ telnet sfr.continuumconcepts.com. 25 Trying 184.168.71.236..