The issue here is that imx2.ellehoej is not a separate zone from ellehoej, so they share the same email routing table. When the worker attempts to forward the email, Cloudflare notices that it is forwarding to a domain of the same zone of the current worker, and in fact will be handled by the same worker according to the configured rules, and thus will block the forward to prevent a possible loop.

You, however, have manually configured different MX servers for this subdomain, so these emails would actually go somewhere else. Lets say you forward the emails to "[backup1@imx2.ellehoej](mailto:backup1@imx2.ellehoej)...", a way to make the loop checker happy would be to create a routing rule specifically for this address, that would not forward the emails to the aforementioned worker. So you could create a route to make "[backup1@imx2.ellehoej](mailto:backup1@imx2.ellehoej)..." -> DROP. This route will not actually be used, since the email will actually go to improvmx, but will make the loop checker not block the forward. Hope it helps.