No, the MX record for most of my domains does not match my domain name.
As a user I would not consider it a feature. As a mail service provider it can be helpful.
Some mail services use it as part of their provisioning process, and I imagine it helps them to migrate customers internally to new mail servers as needed when a service has the ability to repoint the branded mx pop imap webmail etc names at new IP addresses. With low TTL's it could also be used as part of a scripted fail-over scheme to move the customers to a fail-over location within a few minutes.