You're correct in that, most PC clients don't, but they should.

Here is a brief discussion on this subjec from 2002

Redundant Mail Relays with Pine, Eudora and Outlook
http://www.nber.org/redundant.html


If you're really bored and want to do more reading here are further links of information on the subject.

Windows applications appear to be the ones that don't follow the rules as there intended for this subject.

Delivering mail to user AT domain.com
http://www.han.com/dns.html

Simple Mail Transfer Protocol (SMTP)
http://www.auggy.mlnet.com/ibm/3376c46.html#smtpdom

MX, Mail Exchange Records
http://www.domainavenue.com/mx.htm

How do I configure and test the MX Record for my Internet Domain name?
http://www.petri.co.il/configure_mx_records_for_incoming_smtp_email_traffic.htm