Cant enable email on personal hosting (with external domain)

I've just purchased a personal hosting to manage email for an external domain.

Hosting has been created and I've received email with ftp access data, IPs for A records and so on, but when I try to enable email it asks me to select the domain but only shows my ovh domains, I can't write a custom external domain. Is that ok?

Am I missing something? Do I have to move the domain (or at least the DNS zone) to OVH so I can manage mail here?