maybe you have an MX record for the hostname instead of (or in addition to) the mail domain, in which case the setup won't prompt with "It is suggested that the domain name have an MX record configured in DNS"
at any rate, once you have a domain that suits you, set it as the default domain. this will create a fresh domain and make it the default:
zmprov createDomain shiny.example.com
zmprov modifyConfig zimbraDefaultDomainName shiny.example.com |