The clients will send unencrypted DNS requests to the Umbrella Virtual Appliance.
The Umbrella Virtual Appliance will then proxy requests for public domains upstream to the Umbrella cloud via an encrypted tunnel.
If the MX does not reside between the clients and the virtual appliance (where it can intercept the unencrypted lookups), it will not be able to intercept these DNS requests and therefore, you the FQDN based rules will fail.