Re: split the load?

> As far as I know, that option is for the A records only.

Indeed.

> And besides, if you want a certain MX host to have a higher precidence, it is
> trivially easy to reduce that hosts preference value in that MX record.

Indeed.

> I've seen implementations do this. However, I've also seen this fail to do the
> right thing.

Server or client end ?

Server works plausibly for local lookups.
Client usually works quite well -- but only for local addresses anyway !

> Since that is a global setting, you can get one order if you as a primary server,
> and another order if you ask a secondary server.

If you and one of the servers share a common network, yes.

> DNS does not guarantee ordering of information.

Indeed.