Follow this link to set the Mailgun route:
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.
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.
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 firstname.lastname@example.org
If you are using other smtp, it is possible that when the lead replies to the email, the leads might manually omit the smtpreply email in the reply-to email addresses. That would be the limitation of using SMTP integration. We will need email@example.com in the reply-to email address in order to capture the email replies back into HL. So we can read, manually respond or trigger a response using tags.