This is definitely a DNP issue.
I have just found out this is also happening direct in DNP too if I tick the option to create a catch-all while creating an hosting account. Basically SM does a check to make sure MX is available for the alias domain before allowing it.
Out of interest would I be right in saying WHMCS doesn't create an email catchall at the point of creating the hosting account which is why your not seeing this issue?
The strange thing is that it used to work fine prior to the SM5 providor change.
I'm going to upgrade DNP and see if this is fixed.