This would be more a question about shared SMTP domains (whose configuration strongly depend on the actual mail servers being in use) than MX records.
Multiple MX records, depending on priority and reachability, can cause incoming messages to go to a server or to the another one... but there is no way all servers are going to receive a copy. They have to be configured to share the same SMTP domain and correctly handle messages regardless of which server actually hosts a specific mailbox.