Reverse DNS and SaaS Spam Filters

Reverse DNS and SaaS Spam Filters

We have an exchange server in the office that for a year or so has just
used the built-in spam filters - we have added the SpamHaus IP addresses
so that some basic spam filtering is done. However, this is no longer
viable - we just get too much spam.
So we have looked at several SaaS Spam Filtering services, such as MX
GuardDog. For it to work we need to change our MX records to point to the
MX GuardDog IP addresses. Our setup is currently:
Host: exchange.mydomain.com MX (for mydomain.com) is exchange.mydomain.com
I think this is pretty much as you would expect.
Our static IP address has a reverse DNS entry set to point to
exchange.mydomain.com. My concern is that if we have to change our MX
records to point to MX GuardDog, will this in itself not pose problems
with revere DNS? I suppose, my question is the reverse DNS entry pointing
to the host, or the MX record - if that makes sense? Or, put another way -
if our MX record changes from exchange.mydomain.com to mx1.guarddog.com
are we going to get reverse DNS problems, which in itself could cause
certain email servers to block our mails?
MAny thanks Al