When you set up a new user, DirectAdmin will create MX records for the user's domain(s). If you need to change those from the user level, and there's no MX Records or DNS links, you need to check with your hosting provider.
If it's your server and you're the DirectAdmin admin, then you can make the changes using the DNS link from the admin login account.
If you're changing to mx records not on your server then you need to use the user login link for MX Records, and uncheck the checkbox and click on Enter.
Jeff