Follow this link to set the Mailgun route:

https://help.gohighlevel.com/support/solutions/articles/48000987293-how-to-setup-replies-in-mailgun


If there's another route pointing somewhere else, please remove that.




To check the MX records, you can grab the domain in agency Settings -->Mailgun and paste it in the website below to see if there are any records pointing to mxa.mailgun.org and mxb.mailgun.org.




https://mxtoolbox.com/


If you set up the root domain (e.g. ghl.com) with Mailgun:


Make sure it is not pointing to somewhere else like Gsuite. We can only choose either one here so you will need to either set up a subdomain for Mailgun or not use the domain for Gsuite.


More information on 
Can I Use the Same Domain Name for Mailgun and for Google Apps (Or Another Email Server)?
 
The MX record is essential for Mailgun track the replies tracking.  
 
We can use the Mxtoolbox to lookup the MX record for the root domain and it is pointing to Mailgun as shown in the screenshot below as well as other email servers (e.g. Gsuite).

We can only choose either one here so you will need to either set up a subdomain for Mailgun or don't use the domain for other email servers like (e.g. Gsuite)





Go to the Domain Settings tab under Sending—> Click DNS records on the top middle


see if all five DNS records have a green checkmark?


Sometimes we need to click Check DNS Now to see if the green ticks will turn into red crosses.


If not, please take a screenshot of all DNS records in Godaddy, or the domain provider that you are using and send it to support@gohighlevel.com