I am just not sure, for this domain SpaceMail.com, who has a CNAME to CDN for 
the root domain, every query to this domain will get a CNAME. for instance,

This is a requirement of CNAME. If a domain has a CNAME, it can't have anything else. See RFC1034 3.6.2. There is a minor exception, the CNAME record may be signed by DNSSEC.

How does it get mail then? incoming mail was handled by 
spacemail.com.cdn.cloudflare.net?

Impossible to tell what exact service Cloudflare is providing. It could be as trivial as resolving the "spacemail.com.cdn.cloudflare.net" name back to the original server, to routing the SMTP traffic back to some server in a datacentre somewhere, or even providing SMTP ingress servers around the globe. Whatever the exact implementation, the address that the MX record resolves to, after following aliases, should accept mail for the domain of the original MX lookup.


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