CNames are DNS-level forwarders. When you make a request for a CName record the DNS server effectively responds with a "try here instead" message. A CPanel subdirectory forwarder is an HTTP-level forward which will only work with HTTP requests. If you are using a third party mail server, it will only do an NS lookup to verify the CName, not an HTTP request, so it won't work. Moreover HTTP redirects are much slower than making the switch at the DNS level.
CName changes should be made at the WHM level.
Login to your WHM
Click on "DNS Functions"
Go to "Edit DNS Zone"
In the "DNS Zone Editor" page
under the "Choose a Zone to Edit" box
choose your Domain for which the CName has to be changed and
click on "Edit" button
If you want to make CName changes to a subdomain, the subdomain has to be added to your domain even before you come to this zone.
Make necessary changes and click on the "Save" button
DO NOT CHOOSE THE FOLLOWING OPTION IF YOU ARE USING A THIRD PARTY EMAIL SERVICE PROVIDER
"Always accept mail locally even if the primary mx does not point to this server".
